macroeconometric panel data with cross-sectional dependence. The testing procedure for a common rank among the panel units is based on …

This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The … combined to develop the panel statistics. A simulation study shows that the tests have reasonable size and power properties in …

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the …

-integrating relationship in levels, for long panels. It is a natural extension to panel data of the respective approach in time series as … standard inference is not valid for at least one of the tests in our proposed panel BTP. Codes that generate sample …

whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate … dimension tends to infinity. -- Cointegration ; trace statistic ; asymptotic moments ; uniform integrability …

This paper introduces tests for cointegration breakdown that may occur over a relatively short time period, such as at …

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 …