of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …

four-level model is estimated to study block- and aggregate-level dynamics in a panel of 445 series related to different …

-dimensional panel data with grouped factor structures. The proposed method attempts to capture the level of similarity of each of the …

We consider large n, T panel data models with fixed effects, persistent common factors allowing for cross … fractionally differenced data. In the estimation, we use a computationally convenient equation-by-equation conditional … desirable properties for our estimation method. Finally, an empirical application to the long-run relationship between real GDP …

pooled mean group estimator (SPMG) to deal with these features. Using this new panel estimator and a dataset spanning almost …

mainly employed traditional unit-root tests, our research stands out for its use of novel panel stationarity tests that …