Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors: the case of stationary and non-stationary regressors and residuals
含随机个体效应与序列相关误差的线性面板估计：平稳与非平稳情形
This paper studies the asymptotic properties of standard panel data estimators in a simple panel regression model with random error component disturbances. Both the regressor and the remainder disturbance term are assumed to be autoregressive and possibly non-stationary. Asymptotic distributions are derived for the standard panel data estimators including ordinary least squares (OLS), fixed effects (FE), first-difference (FD) and generalized least squares (GLS) estimators…