Panel Time Trend Model with Stationary and Nonstationary Error Terms

Chihwa Kao and Long Liu

Chapter 2 in High-Dimensional Econometrics and Identification, 2019, pp 35-56 from World Scientific Publishing Co. Pte. Ltd.

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

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 (search for similar items in EconPapers)
JEL-codes: C01 C1 (search for similar items in EconPapers)
Date: 2019
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