Until recently, inference in many interesting models was precluded by the requirement of high dimensional integration. But dramatic increases in computer speed, and the recent development of new algorithms that permit accurate Monte Carlo evaluation of high dimensional integrals, have greatly...

This chapter conducts a Monte Carlo investigation into small sample properties of some of the dynamic panel data estimators that have been applied to estimate the growth-convergence equation using Summers-Heston data set. The results show that the OLS estimation of this equation is likely to...

Several stationarity tests in heterogeneous panel data models are proposed in this chapter. By allowing maximum degree of heterogeneity in the panel, two different ways of pooling information from independent tests, the group mean and the Fisher tests, are used to develop the panel stationarity...