This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs very well in...

In this paper, we consider the estimation of a dynamic panel data model with non-stationary multi-factor error structures. We adopted the common correlated effect (CCE) estimation and established the asymptotic properties of the CCE and common correlated effects mean group (CCEMG) estimators, as...