This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data … based on average of pair-wise correlation coefficients of the OLS residuals from the individual regressions in the panel …

macroeconometric panel data with cross-sectional dependence. The testing procedure for a common rank among the panel units is based on …

This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The … combined to develop the panel statistics. A simulation study shows that the tests have reasonable size and power properties in …

This paper considers testing the hypothesis that errors in a panel data model are weakly Cross-sectionally dependent … panel contains lagged values of the dependent variables, so long as there are no major asymmetries in the error distribution …. -- exponent of cross-sectional dependence ; diagnostic tests ; panel data models ; dynamic heterogenous panels …

This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent … for values of α in the range [0, 1/4], for all combinations of N and T, and irrespective of whether the panel contains … cross-sectional dependence ; diagnostic tests ; panel data models ; dynamic heterogenous panels …

In this paper the class of admissable tests for unit roots in panel data sets of autoregressive, Gaussian time series …

We investigate the purchasing power parity hypothesis for a group of 17 countries using a new panel based test of …, these features provide a generally applicable solution to the problem of testing for stationarity versus unit roots in macro-panel …

In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are …

We show how the use of panel data methods such as those proposed in single equations by Kao (1999) and Pedroni (1999 … literature assumes that such relations, that tie the units of the panel together, are not present. Using empirical examples from … a panel of OECD countries we show that this assumption is very likely to be violated. Simulations of the properties of …

This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent … the range [0, 1/4], for all combinations of N and T, and irrespective of whether the panel contains lagged values of the …