In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are …

This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent … the range [0, 1/4], for all combinations of N and T, and irrespective of whether the panel contains lagged values of the …

This paper proposes maximum likelihood estimators for panel seemingly unrelated regressions with both spatial lag and … spatial lag dependent variable and where the heterogeneity in the panel is incorporated via an error component specification … spatial autocorrelation and random effects for this spatial SUR panel model. The small sample performance of the proposed …

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important … cointegration properties of the unobserved factors. This finding is further supported for small samples via an extensive Monte Carlo …

unemployment. Empirical results focus on particular theoretical channels establishing the relationship. Panel models mostly draw on … this paper, we adopt a global cointegration approach recently proposed by Bienstock and Felsenstein (2010) to account for …