In this paper we introduce fixed-T unit root tests for panel data models with serially correlated and heteroscedastic … disturbance terms. The tests are based on pooled least squares estimators for the autoregressive coefficient of the AR(1) panel …-section dimension of the panel grows large, provided a condition involving the 4+delta-th order moments of the first differences of the …

This paper introduces a new estimation method for dynamic panel models with fixed effects and AR(p) idiosyncratic … effects and retains information and signal strength in cases where there is a root at or near unity. The resulting "panel … of the approach continue to hold for fixed and even small n. For panel data modeling purposes, a general …

First difference maximum likelihood (FDML) seems an attractive estimation methodology in dynamic panel data modeling … infinite at the upper bound when the time series sample size T approaching infinity. As the panel width n approaching infinity …

In this paper, we apply the asymptotic theory of panel cointegration developed by Kao and Chiang (1997) to Coe and …

For panel data models including time-invariant variables, this paper proposes a new Hausman pretest estimator of the …

In this paper, we propose two classes of test statistics for detecting a break at an unknown date in panel data models …

panel cointegrated regression models. Monte Carlo results illustrate the sampling behavior of the proposed estimators and …

attention to dependence among cross-sectional units, be it time-dependent or not. To obtain a panel cointegration test robust to … independent even in the presence of correlation or cointegration across units, leading to a panel test statistic robust to cross …