investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …

We study semi-parametric estimation and inference in cointegrated panels with endogenous feedback, allowing for general … Phillips and Hansen (1990) that use a spectral [non-parametric] estimation of the residual asymptotic covariance matrix to …

weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first …

that the presence of common cyclical features or cointegration leads to a reduction of the order of the implied univariate …

are formed by integrated process of order 1. We find that without a cointegration relation (spurious case) the …. Whereas, for the case when at least one cointegration relation exists, we have a T-consistent estimator for the intervention …

, observational data computations, and Monte Carlo simulations to assess the use of various estimation methodologies, including … standard dynamic panel regression and cointegration techniques that have been used in earlier research. The findings reveal … massive bias in system GMM estimation of the dynamic panel regression parameters, which arise from fixed effect heterogeneity …

models describe mappings from a latent distribution to an observed distribution. The identification and estimation of …