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    • Panels with Nonstationary Multifactor Error Structures 

      Kapetanios, George; Pesaran, M. Hashem; Yamagata, Takashi (Faculty of Economics, University of Cambridge, UK, 2006-08)
      The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recent work by Pesaran (2006) suggests a method which makes use of cross-sectional averages to provide valid ...