This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and...

We study the business cycle in the US over 1959–2011 using a large-dimensional multi-level factor model. We find notable asymmetries over the business cycle, but the bulk of common dynamics is stable over time. The comovement among variables is larger in recessions compared to expansions. The...

To assess the synchronization of business cycles in Europe we extract the cyclical component of industrial production in five European countries using the filter of Baxter and King (1999). The hypothesis of a joint business cycle is tested by using the frequency domain common cycle test...