We consider the issue of cross-sectional aggregation in nonstationary and heterogeneous panels where each unit cointegrates. We derive asymptotic properties of the aggregate estimate, and necessary and su¢ cient conditions for cointegration to hold in the aggregate relationship. We then analyze...

We consider the issue of cross sectional aggregation in nonstationary, heterogeneous panels where each unit cointegrates. We first derive the asymptotic properties of the aggregate estimate, and a necessary and sufficient condition for cointegration to hold in the aggregate relationship. We also...

In this paper, we propose an estimation and testing framework for parameter instability in cointegrated panel regressions with common and idiosyncratic trends. We develop tests for structural change for the slope parameters under the null hypothesis of no structural break against the alternative...

In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic trends. We consider both the cases of observable and nonobservable common trends, deriving a Functional Central Limit Theorem for the partial sample estimators under the null of...

In cointegrating regressions, estimators and test statistics are nuisance parameter dependent. This paper addresses this problem from an identification-robust perspective. Confidence sets for the long-run coefficient (denoted β) are proposed that invert LR-tests against an unrestricted or a...