This paper investigates whether a common factor, which can be interpreted as a shadow carbon price, can be extracted from price series in 13 major national and subnational emission trading systems (ETSs). For this purpose, we estimate a dynamic factor model accounting for information...

In this paper, we develop a test for the existence of a middle 'band of inaction' in a three-regime threshold vector error correction model (TVECM). A Wald statistic is proposed for this purpose, its limiting distribution is derived (which is non-standard) and critical values calculated through...