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Essays On Testing Hypotheses When Non-Stationarity Exists In Panel Data Models, Sang Gon Na
Essays On Testing Hypotheses When Non-Stationarity Exists In Panel Data Models, Sang Gon Na
Economics - Dissertations
This dissertation consists of two essays on testing hypotheses in panel data models when non-stationarity exists in the model. This is done under the high-dimensional framework where both n (cross-section dimension) and T (time series dimension) are large. In the first essay, I discuss the limiting distribution of the t-statistic; using different panel data estimators and propose using the t-statistic based on Feasible GLS estimator. In the second essay, I develop the bootstrap F-statistic for cross-sectional independence in a panel data model with factor structure.
The first essay considers the problem of hypotheses testing in a simple panel data regression …