Overview

Data sets that are arranged as time series panels have become increasingly prevalent in empirical work in fields such as economics and finance. These panels are often nonstationary in their time series dimension, which poses new challenges as well as new opportunities for empirical research. This book is the first to provide a comprehensive and unified treatment of the rapidly expanding field of nonstationary panel econometrics, including panel unit root methods, single equation and multiple equation panel cointegration methods, and the general treatment of cross sectional dependencies. In addition to presenting theory, the book includes ample empirical illustrations of the techniques drawn from international finance and macroeconomics. Emphasis is placed on the development of intuition, and a unified treatment that facilitates comparison among different approaches. The book is designed to appeal to a broad audience that includes researchers, practitioners of empirical methods, and graduate students of economics and finance.

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9780199264438

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