New multivariate panel cointegration methods are used to analyze nominal exchange rates and prices in four major … economies in Europe; France, Germany, Italy and the United Kingdom for the post-Bretton Woods period. We test for purchasing …

This paper considers estimation methods and inference for linear dynamic panel data models with unit … further simulation evidence that GMM estimators with a large number of instruments can be severely biased in finite samples …

This article applies the panel stationarity test with a break proposed by Hadri and Rao (2008) to examine whether 14 … break models are allowed for in the panel. Our results suggest, overwhelmingly, that if we account for a structural break …

Applying the new panel unit root test developed in this paper, we can overcome the pitfalls of old-fashioned panel unit …-Fuller and traditional panel data unit root test, however, when using the new test developed in this paper we find strong … test is examined though Monte Carlo Simulation, and was superior as compared to that of single ADF unit root test …

In our analysis we discuss several dynamic panel data estimators proposed in the literature and assess their … broadly into the class of instrumental estimators and the class of direct bias corrected estimators. The simulation results … these estimators decreases with growing numbers of individuals in the simulation. This is the well known fact of large …

In our analysis we discuss several dynamic panel data estimators proposed in the literature and assess their … broadly into the class of instrumental estimators and the class of direct bias corrected estimators. The simulation results … these estimators decreases with growing numbers of individuals in the simulation. This is the well known fact of large …

work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across … countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate …