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Panel Time Trend Model with Stationary and Nonstationary Error Terms

In: HIGH-DIMENSIONAL ECONOMETRICS AND IDENTIFICATION

Author

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  • Chihwa Kao
  • Long Liu

Abstract

This chapter discusses the panel regression models when the regressor xt has a time trend, i.e…

Suggested Citation

  • Chihwa Kao & Long Liu, 2019. "Panel Time Trend Model with Stationary and Nonstationary Error Terms," World Scientific Book Chapters, in: HIGH-DIMENSIONAL ECONOMETRICS AND IDENTIFICATION, chapter 2, pages 35-56, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811200168_0002
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    More about this item

    Keywords

    Large Dimensional; Large Panel; Identification; High-Dimensional Econometrics; Econometrics; Statistics; True Signal; High-Dimensional Data; Panel Data Model; Panel Data; Panel Spurious Regressions; Autocorrelation Parameter; Dynamic Linear Panels; Incidental Parameters;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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