This note argues that large VAR models with common cyclical feature restrictions provide an attractive framework for parsimonious implied univariate final equations, justifying on the one hand the estimation of homogenous panels with dynamic heterogeneity and a common factor structure, and on...

In this paper we consider the issue of unit root testing in cross-sectionally dependent panels. We consider panels that may be characterized by various forms of cross-sectionaldependence including (but not exclusive to) the popular common factor framework. Weconsider block bootstrap versions of...

This note argues that large VAR models with common cyclical feature restrictions provide an attractive framework for parsimonious implied univariate final equations, justifying on the one hand the estimation of homogenous panels with dynamic heterogeneity and a common factor structure, and on...