Title: Estimation of average local-to-unity roots in heterogenous panels
Description: "This paper considers the estimation of average autoregressive roots-near-unity in panels where the time-series have heterogenous local-to-unity parameters.  The pooled estimator is shown to have a potentially severe bias and a robust median based procedure is proposed instead.  This median estimator has a small asymptotic bias that can be eliminated almost completely by a bias correction procedure.  The asymptotic normality of the estimator is proved.  The methods proposed in the paper provide a useful way of summarizing the persistence in a panel data set, as well as a complement to more traditional panel unit root tests"--Federal Reserve Board web site.