macroeconometric panel data with cross-sectional dependence. The testing procedure for a common rank among the panel units is based on …

This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The … combined to develop the panel statistics. A simulation study shows that the tests have reasonable size and power properties in …

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the …

-integrating relationship in levels, for long panels. It is a natural extension to panel data of the respective approach in time series as … standard inference is not valid for at least one of the tests in our proposed panel BTP. Codes that generate sample …

In this paper we discuss tests for residual cross section dependence in nonlinear panel data models. The tests are …

This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent … the range [0, 1/4], for all combinations of N and T, and irrespective of whether the panel contains lagged values of the …

This paper develops a simple panel unit-root test that accommodates cross-sectional dependence among variables and …

This paper considers testing the hypothesis that errors in a panel data model are weakly cross sectionally dependent … for values of α in the range [0, 1/4], for all combinations of N and T, and irrespective of whether the panel contains … cross-sectional dependence ; diagnostic tests ; panel data models ; dynamic heterogenous panels …

This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data … based on average of pair-wise correlation coefficients of the OLS residuals from the individual regressions in the panel …, and as predicted by the theory, quite robust to the presence of unit roots and structural breaks. The use of the CD test …