Panel data can be stationary or nonstationary and independent or dependent. The analysis of nonstationary, independent data was developed in the late 1990s to early 2000s. The analysis of stationary, strongly dependent data was developed in the mid-2000s and extended to nonstationary data from 2011 to 2014. The analysis of stationary, weakly dependent data started in 2003. A gap was found in the literature for nonstationary data with weak dependence, which this book aims to fill. The study focuses on panel data where the number of units is fixed and time periods tend to infinity. Strong dependence leads to correlated effects, while weak dependence leads to causally related effects. Weak dependence can cause contagion, but strong dependence does not.