A Correction Factor for Unit Root Test Statistics Despite the fact that it is not correct to speak of Bartlett corrections in the case of nonstationary time series, this paper shows that a Bartlett-type correction to the likelihood ratio t...

`Objective' Bayesian Unit Root Tests SUMMARY Due to weaknesses in traditional tests, a Bayesian approach is developed to investigate whether unit roots exist in macroeconomic time-series. Bayesian posterior odds comparing unit root models...

Some Strange Properties of Panel Data Estimators arise in practice with panel data when parameters vary across individuals, but this is not allowed for in estimation. We consider both stationary and non-stationary regressors. We find that...

Sampling Designs for Short Panel Data Some aspects of the design and analysis of short panel data are considered. It is assumed that each individual may be at any instant in one of two states, for example employed and unemployed, and that...

Panel Data and Unobservable Individual Effects An Important purpose in combining time-series and cross-section data is to control for individual-specific unobservable effects which ma? be correlated with other explanatorq variables. Using...

Multiplicative Panel Data Models without the Strict Exogeneity Assumption This paper considers estimation of multiplicative, unobserved components panel data models without imposing a strict exogeneity assumption on the conditioning variab...

Linear Regression Limit Theory for Nonstationary Panel Data This paper develops a regression limit theory for nonstationary panel data with large numbers of cross section (n) and time series ( T )observations. The limit theory allows for b...

Estimation of a Panel Data Sample Selection Model We consider the problem of estimation in a panel data samplc selection model, where both thc selection and the regression equation of intercst contain unobservable individual- specific effe...

Estimating Vector Autoregressions with Panel Data This paper considers estimation and testing of vector autoregression coefficients in panel data, and applies the techniques to analyze the dynamic relationships between wages and hours work...

A Computationally Practical Simulation Estimator for Panel Data In this paper I develop a practical extension of McFadden's method of simulated moments estimator for limited dependent variable models to the panel data case. The method is b...