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Vol. 59, No. 2, pp. 126-138 (2008)

“Nonstationary Panel Data Models -A Survey-”
Kazuhiko Hayakawa (Graduate School of Social Science, Hiroshima University), Hiroaki Chigira (Graduate School of Economics and Management, Faculty of Economics, Tohoku University), Taku Yamamoto (Graduate School of Economics, Hitotsubashi University)

In this paper, recent developments of nonstationary panel data models are surveyed. Although theoretical and empirical studies of nonstationary time series models have been extensively elaborated since the 1980s, nonstationary panel data models have come to the fore in the late 1990s, and extensive studies are still going on now. This survey article introduces representative studies in several topic, unit root and stationary tests, and estimation and testing in cointegration models.