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 …

whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate …

The purpose of this paper is to propose a new likelihood-based panel cointegration test in the presence of a linear … & Lütkepohl (2000) for trend-adjusted data to the panel data framework, and is called the panel SL test. The idea is first to take … power in small samples. -- Panel cointegration Test ; likelihood ratio ; time trend ; Monte Carlo study …

This paper proposes a new likelihood-based panel cointegration rank test which extends the test of Örsal & Droge (2012 …) (henceforth Panel SL test) to allow for cross-sectional dependence. The dependence is modelled by unobserved common factors which … panel analysis of nonstationarity in idiosyncratic and common components (PANIC) approach of Bai & Ng (2004) and the …

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 …

Present paper considers structural break in panel AR(1) model which allows instability in mean, variance and … existing panel data time series model considering break studied by Levin et al. (2002), Pesaran (2004), Bai (2010), Liu et al …

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … cointegrating ranks varying from zero to two for fourteen different panel dimensions. The usual specifications of deterministic … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …