In our analysis we discuss several dynamic panel data estimators proposed in the literature and assess their …

accommodates the possibility of a break affecting only some - and not all - individuals of the panel. Under mild assumptions the … test statistic is shown to be asymptotically normal, thanks to the cross sectional dimension of panel data. This greatly …

work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across … countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate …

In applied microeconometric panel data analyses, time-constant random effects and first-order Markov chains are the …

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …

maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-p, the … group-p, the panel-t, the group-t statistics of Pedroni (1999) and the standardized LR-bar statistic of Larsson er al. (2001 …) are considered. The simulation results indicate that the panel-t and standardized LR-bar statistic have the best size and …

Applying the new panel unit root test developed in this paper, we can overcome the pitfalls of old-fashioned panel unit …-Fuller and traditional panel data unit root test, however, when using the new test developed in this paper we find strong …