We consider the issue of cross sectional aggregation in nonstationary, heterogeneous panels where each unit cointegrates. We first derive the asymptotic properties of the aggregate estimate, and a necessary and sufficient condition for cointegration to hold in the aggregate relationship. We also...

This paper considers measures of uncertainty used in economic estimation. Our first contribution is to address the theoretical relationship between cross-section and time series measures, highlighting the reasons why these might diverge. In a subsequent empirical section, we compare measures of...

A new class of specification tests is proposed to detect for neglected nonlinearity and dynamic misspecification in panel models. The tests can detect a wide range of model misspecifications while being robust to conditional heteroskedasticity and higher order time-varying moments of unknown...

In this paper, we propose the use of bootstrapping methods to obtain correct critical values for dating breaks. Following the procedure proposed in Banerjee, Lazarova and Urga (1998), we consider the case of estimating a system with two or more marginal processes and a conditional process....

In this paper we investigate portfolio coskewness using a quadratic market model as return generating process. It is shown that portfolios of small (large) firms have negative (positive) coskewness with market. An asset pricing model including coskewness is tested through the restrictions it...