This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the … volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … enjoyed by many industrialized countries, known as the "Great Moderation". It also proposes a new testing approach for panel …

This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the … volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … enjoyed by many industrialized countries, known as the `Great Moderation.' It also proposes a new testing approach for panel …

We study the impact of individual and temporal aggregation in linear static and dynamic models for panel data in terms …

This paper considers higher-order autoregressive (AR(p)) panel models with fixed effects, where the lag order p is … dynamic panel modeling. We suggest a general form for bias correction, which specifically incorporates the lag order selection …. A consistent lag order selection criterion is also proposed, which is more suitable for large panel system with fixed …

Poisson (FEP) estimator for panel data models with multiplicative heterogeneity in the conditional mean. In particular, we …

This paper considers estimating the slope parameters and forecasting in potentially heterogeneous panel data …

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

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