We propose in this paper a likelihood-based framework for cointegration analysis in panels of a fixed number of vector error correction models. Maximum likelihood estimators of the cointegrating vectors are constructed using iterated Generalized Method of Moments estimators. Using these...

In this paper a panel of vector error correction models based on a common long-run relationship is utilized to test whether the DM exchange rates of Canada, Japan and the United States comply in the long-run with a rational expectations-based monetary exchange rate model. Compared to existing...