Nonstationary panel data analysis: an overview of some recent developments

By Peter C. B. Phillips, H. R. Moon. 2000

419 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/14294e5c2e850c2b25ad08b33d8dcb81a1a5bb41

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In Economics and Econometrics

Citations in the corpus

Cointegration Vector Estimation by Panel DOLS and Long‐run Money Demand* (2002, methodology): “In computations, one can follow the recommendations of Phillips and Moon (2000) to obtain an estimate of nit first by estimating the drift aiT ¼ 1 T PT t¼1 Dxit ¼ 1T ðxiT xi1Þ and then using n̂it ¼ xit xi0 taiT .”
Labour Market Effects of Parental Leave Policies in OECD Countries (2013, result): “Piketty (2005) finds the effects are similar to those reported in Norway: the 1994 extension of parental care allowance led to an 11% reduction in the employment rate of mothers with a second child under three years of age. Thévenon (2009) found that the employment rates of women with two children i”
DOES DEFENCE SPENDING IMPEDE ECONOMIC GROWTH? COINTEGRATION AND CAUSALITY ANALYSIS FOR PAKISTAN (2013, neutral): “…of cointegration approaches such as Engle and Granger (1987), Johansen (1991, 1992) and Johansen and Juselius (1990), Stock and Watson (1993) and, Phillips and Moon (2001) are available to examine cointegration between the variables.7 The prerequisite of these tests for cointegration is that all…”
Are educational gender gaps a brake on economic development? Some cross‐country empirical evidence (2002, methodology): “…of the average long-run coefficients, although their results are based on restrictive assumptions, including strict exogeneity of the regressors.19 Phillips and Moon (1999, 2000) provide a different interpretation of longrun average relationships when using cross-section regressions of time…”
Small sample properties of panel time-series estimators with I(1) errors (2001, background): “Corresponding author: Tel: +44 0207 631 6418.”
Predicting Global Stock Returns (2008, positive): “To correct for this bias, I develop an estimator based on the idea of recursive demeaning (e.g., Moon and Phillips (2000), Sul, Phillips, and Choi (2005)).”
Estimation and inference with non-stationary panel time-series data. (2001, methodology): “There are a number of different ways that N and T can go to infinity and the relation between these different ways remains a subject of research: Phillips and Moon (1999, 2000).”
Government Expenditure and Economic Growth in the EU: Long-Run Tendencies and Short-Term Adjustment (2008, neutral): “22 When there is a considerable heterogeneity in the deterministic trends, Phillips and Moon (1999) suggest OLS de-trending.”
Estimation of Censored Quantile Regression for Panel Data With Fixed Effects (2013, background): “…1997; Buchinsky and Hahn 1998; Bilias, Chen, and Ying 2000; Khan and Powell 2001; Chernozhukov and Hong 2002; Honoré, Khan, and Powell 2002; Portnoy 2003; Peng and Huang 2008; Lin, He, and Portnoy 2012; Tang et al. 2012), the literature on censored QR for panel data is still very limited.”
Econometric Analysis of Panel Data (2020, background): “Prucha (1985) derives the full information maximum likelihood (FIML) estimator of the simultaneous equation model with error components assuming normality of the disturbances.”