panel cointegrated regression models. Monte Carlo results illustrate the sampling behavior of the proposed estimators and …

(DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all …

We consider a class of panel tests of the null hypothesis of no cointegration and cointegration. All tests under … demonstrated that their usage results in size distortions growing with the panel size N. Moreover, we show which are the …

In this paper, we propose two classes of test statistics for detecting a break at an unknown date in panel data models …

Quasi ML estimators (MLEs) for panel AR(1) models with additional regressors. We also consider related GMM estimators. All … heteroskedasticity and are extensions and generalizations of the models considered in Kruiniger (2013. Quasi ML estimation of the panel …

In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic …

This paper provides a new methodology for the analysis of multiple long run relations in panel data models where the … cross section dimension, n, is large relative to the time series dimension, T. For panel data models with large n … approach is illustrated with an application to key financial variables using an unbalanced panel of US firms from merged CRSP …

When analyzing panel data using regression models, it is often reasonable to allow for time-varying covariate effects …. We propose a novel approach to modelling timevarying coefficients in panel data regressions, which is based on penalized …