This paper presents results concerning the performance of both single equation and system panel cointegration tests and … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the … cointegrating ranks varying from zero to two for fourteen different panel dimensions. The usual specifications of deterministic …

for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and …

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

An attractive feature of panel unit root tests is the ability to exploit coefficient homogeneity under the null … alternative hypothesis of heterogeneous panel unit root tests of at least one series being stationary, the researcher is left with …

Panel datasets have been increasingly used in economics to analyse complex economic phenomena. One of the attractions … of panel datasets is the ability to use an extended dataset to obtain information about parameters of interest which are … assumed to have common values across panel units. However, the assumption of poolability has not been studied extensively …

maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-p, the …) are considered. The simulation results indicate that the panel-t and standardized LR-bar statistic have the best size and … power properties among the five panel cointegration test statistics evaluated. Finally, the Fisher Hypothesis is tested with …

degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the …This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …

degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the …This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …

models in a panel data context with partially unobserved targets and endogenous, time-varying persistence. In this setup, the …