Sequential panel selection methods (spsms) are based on the repeated application of panel unit root tests and are increasingly used to identify I (0) time series in macro- panels. We check the reliability of spsms by using Monte Carlo simulations based on generating the individual test...

In this paper we propose a simple extension to the panel case of the covariate- augmented Dickey Fuller (CADF) test for unit roots developed in Hansen (1995). The extension we propose is based on a p values combination approach that takes into account cross-section dependence. We show that the...

Economic theory suggests that firm’s investment depend on future growth opportunities, measured for example by price-earnings ratios, but might be dampened by inefficient financial markets. This paper tests these hypotheses using an unbalanced panel of 9,000 listed firms from 41 developed and...

In this paper we propose a set of new panel tests to detect changes in persistence. The test statistics are used to test the null hypothesis of stationarity against the alternative of a change in persistence from I(0) to I(1), from I(1) to I(0) and in an unknown direction. The limiting...

In this paper we propose a set of new panel tests to detect changes in persistence. These statistics are used to test the null hypothesis of stationarity against the alternative of a change in persistence from I(0) to I(1) or viceversa. Alternative of unknown direction is also considered. The...

This paper presents some micro-level evidence on the role of the socio-demographic characteristics of the population and the characteristics of the data collection process as predictors of survey response. Our evidence is based on the public use files of the European Community Household Panel...

This paper presents new results on the rational bubbles hypothesis for a panel of 9 OECD countries using Campbell, Lo and MacKinsay (1997) model. The contribution offered by this paper is an analysis of international data that exploits increased power deriving from the panel unit root and...

In this paper we propose the extension of the covariate-augmented Dickey Fuller (CADF) test for unit roots developed by Hansen (1995} to the panel case. We show that the extension is viable and gives power gains with respect to the time series approach. Particular attention is paid to cross-unit...