This paper presents results concerning the performance of both single equation and system panel cointegration tests and … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the …

under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter …

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 …While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional …

We consider a latent group panel structure as recently studied by Su, Shi, and Phillips (2016), where the number of …

panel data occurred at some unknown time or not. Panel data of our interest consist of a moderate or relatively large number …-ratio one by keeping the significance level under the null, mainly when stronger dependence within the panel is taken into …

empirical illustration to examine the Kuznets' U curve hypothesis with balanced panel data of Indian states is also provided …

compared to the cross-section dimension. -- Panel cointegration ; FM-OLS ; FM-SUR ; DOLS ; DSUR …

. -- panel cointegration ; fully modified ordinary least squares ; fully modified seemingly unrelated regression ; dynamic …

In this paper, we propose an estimation and testing framework for parameter instability in cointegrated panel …