{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,1,31]],"date-time":"2026-01-31T13:27:58Z","timestamp":1769866078699,"version":"3.49.0"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"6","license":[{"start":{"date-parts":[[2000,12,15]],"date-time":"2000-12-15T00:00:00Z","timestamp":976838400000},"content-version":"unspecified","delay-in-days":14,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2000,12]]},"abstract":"<jats:p>Time series data are often well modeled by using \nthe device of an autoregressive root that is local to unity. \nUnfortunately, the localizing parameter <jats:italic>(c)<\/jats:italic> is not \nconsistently estimable using existing time series econometric \ntechniques and the lack of a consistent estimator complicates \ninference. This paper develops procedures for the estimation \nof a common localizing parameter using panel data. Pooling \ninformation across individuals in a panel aids the identification \nand estimation of the localizing parameter and leads to consistent \nestimation in simple panel models. However, in the important \ncase of models with concomitant deterministic trends, it is \nshown that pooled panel estimators of the localizing parameter \nare asymptotically biased. Some techniques are developed to \novercome this difficulty, and consistent estimators of \n<jats:italic>c<\/jats:italic> in the region <jats:italic>c<\/jats:italic> &lt; 0 are developed \nfor panel models with deterministic and stochastic trends. \nA limit distribution theory is also established, and test \nstatistics are constructed for exploring interesting hypotheses, \nsuch as the equivalence of local to unity parameters across \nsubgroups of the population. The methods are applied to the \nempirically important problem of the efficient extraction of \ndeterministic trends. They are also shown to deliver consistent \nestimates of distancing parameters in nonstationary panel models \nwhere the initial conditions are in the distant past. In the \ndevelopment of the asymptotic theory this paper makes use of \nboth sequential and joint limit approaches. An important limitation \nin the operation of the joint asymptotics that is sometimes \nneeded in our development is the rate condition <jats:italic>n<\/jats:italic>\/<jats:italic>T<\/jats:italic> \n\u2192 0. So the results in the paper are likely to be most \nrelevant in panels where <jats:italic>T<\/jats:italic> is large and <jats:italic>n<\/jats:italic> is \nmoderately large.<\/jats:p>","DOI":"10.1017\/s026646660016606x","type":"journal-article","created":{"date-parts":[[2002,7,27]],"date-time":"2002-07-27T13:45:46Z","timestamp":1027777546000},"page":"927-997","source":"Crossref","is-referenced-by-count":76,"title":["ESTIMATION OF AUTOREGRESSIVE ROOTS NEAR UNITY USING PANEL DATA"],"prefix":"10.1017","volume":"16","author":[{"given":"Hyungsik R.","family":"Moon","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Peter C.B.","family":"Phillips","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2000,12,15]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S026646660016606X","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,8]],"date-time":"2019-05-08T19:44:48Z","timestamp":1557344688000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S026646660016606X\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2000,12]]},"references-count":0,"journal-issue":{"issue":"6","published-print":{"date-parts":[[2000,12]]}},"alternative-id":["S026646660016606X"],"URL":"https:\/\/doi.org\/10.1017\/s026646660016606x","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2000,12]]}}}