This paper develops a new methodology that makes use of the factor structure of large dimensional panels to understand the nature of non-stationarity in the data. We refer to it as PANIC - a 'Panel Analysis of Non-stationarity in Idiosyncratic and Common components'. PANIC consists of univariate...

This paper studies estimation of panel co-integration models with cross-sectional dependence Generated by unobserved global stochastic trends. The standard least squares estimator is, in General, inconsistent owing to the spuriousness induced by the unobservable i(1) trends. We propose two...

This paper examines the relationship between increasing budget deficits and tax rate for Benin, Côte d'Ivoire, Niger and Togo. This investigation is based on Johansen cointegration approach and Granger causality tests. The findings suggest firstly that these variables are not cointegrated for...