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Recent developments in the field of the econometrics of panel data with non-stationary series are reviewed and interpreted. In particular, we discuss tests for unit roots and cointegration, and the roles of mean and variance correction, non-parametric correction and full modification for the construction of these tests and estimators. A discussion of the key contributions of the papers in this special issue is placed within the framework of the current literature and areas for further development are propose. Copyright 1999 by Blackwell Publishing Ltd
Anindya Banerjee (Mon,) studied this question.