Banking crises are rare events, however when they occur they often have dramatic consequences. The aim of this paper is to contribute to the toolkit of early warning models available to policy makers by exploring the dynamics and non-linearities embedded in a panel dataset covering several...

In this paper we present new evidence on the aggregate effect of the euro on trade using data for 26 OECD countries for the period 1967–2008. We strive to fill the gaps present in the previous literature through a second-generation panel cointegration tests and estimators that account for both...

The objective of the paper is to investigate to what extent business cycles co-move in Germany, France and Italy. We use a large-scale database of non-stationary series for the euro area in order to assess the effect of common versus idiosyncratic shocks, as well as transitory versus permanent...

This paper proposes a new Lagrange multiplier (LM) based unit root test for panel data allowing for heterogeneous structural breaks in both the intercept and slope of each cross-section unit in the panel. We note that panel unit root tests allowing for breaks in the slope will critically depend...

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...

While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional heteroskedasticity as long as global homoskedasticity conditions are fulfilled, they are certainly affected when the innovations exhibit time-varying volatility. Worse yet, distortions...

This study develops new rank tests for panels that include panel unit root tests as a special case. The tests are unusual in that they can accommodate very general forms of both serial and cross-sectional dependence, including cross-unit cointegration, without the need to specify the form of...

This study develops new rank tests for panels that include panel unit root tests as a special case. The tests are unusual in that they can accommodate very general forms of both serial and cross-sectional dependence, including cross-unit cointegration, without the need to specify the form of...

The present paper studies the panel data auto regressive (PAR) time series model for testing the unit root hypothesis. The posterior odds ratio (POR) is derived under appropriate prior assumptions and then empirical analysis is carried out for testing the unit root hypothesis of Net Asset Value...