This paper overviews some recent developments in panel data asymptotics, concentrating on the nonstationary panel case and gives a new result for models with individual eﬀects. Underlying recent theory are asymptotics for multi-indexed processes in which both indexes may pass to inﬁnity. We review some of the new limit theory that has been developed, show how it can be applied and give a new interpretation of individual eﬀects in nonstationary panel data. Fundamental to the interpretation of much of the asymptotics is the concept of a panel regression coeﬀicient which measures the long run average relation across a section of the panel. This concept is analogous to the statistical interpretation of the coeﬀicient in a classical regression relation. A variety of nonstationary panel data models are discussed and the paper reviews the asymptotic properties of estimators in these various models. Some recent developments in panel unit root tests and stationary dynamic panel regression models are also reviewed.
Phillips, Peter C.B. and Moon, Hyungsik Roger, "Nonstationary Panel Data Analysis: An Overview of Some Recent Developments" (1999). Cowles Foundation Discussion Papers. 1469.