This paper considers testing for unit roots in Gaussian panels with crosssectional dependence generated by common factors. Within our setup we can analyze restricted versions of the two prevalent approaches in the literature, that of Moon & Perron (2004), who specify a factor model for the...

Summary. This note reconsiders the nonnegative integer-valued bilinear processes introduced by Doukhan, Latour, and Oraichi (2006). Using a hidden Markov argument, we extend their result of the existence of a stationary solution for the INBL(1,0,1,1) process to the class of superdiagonal INBL(p;...

This paper considers integer-valued autoregressive processes where the autoregression parameter is close to unity. We consider the asymptotics of this 'near unit root' situation. The local asymptotic structure of the likelihood ratios of the model is obtained, showing that the limit experiment...