作者：Phillips, PCB; Moon, HR
作者单位：Yale University; University of California System; University of California Santa Barbara
摘要：This paper develops a regression limit theory for nonstationary panel data with large numbers of cross section (n) and time series (T) observations. The limit theory allows for both sequential limits, wherein T --> infinity followed by n --> infinity, and joint limits where T, n --> infinity simultaneously; and the relationship between these multidimensional limits is explored. The panel structures considered allow for no time series cointegration, heterogeneous cointegration, homogeneous coin...
作者：Sims, CA; Zha, T
作者单位：Princeton University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
摘要：We show how correctly to extend known methods for generating error bands in reduced form VAR's to overidentified models. We argue that the conventional pointwise bands common in the literature should be supplemented with measures of shape uncertainty, and we show how to generate such measures. We focus an bands that characterize the shape of the likelihood. Such bands are not classical confidence regions. We explain that classical confidence regions mix information about parameter location wit...
