This paper develops methods of Bayesian inference in a cointegrating panel data model. This model involves each cross … degree of similarity in coefficients in different cross-sectional units. A collapsed Gibbs sampling algorithm is developed …

We use meta analytic combination procedures to develop new tests for panel cointegration. The main idea consists in … combining p-values from time series cointegration tests on the different units of the panel. The tests are robust to … heterogeneity as well as to cross-sectional dependence between the different units of the panel. To achieve the latter, we employ a …