This paper proposes SupWald tests from a threshold autoregressive model computed with an adaptive set of thresholds. Simple examples of adaptive threshold sets are given. A second contribution of the paper is a general asymptotic null limit theory when the threshold variable is a level variable....

This paper considers estimation of panel data models with fixed effects. First, we will show that a consistent ``unrestricted fixed effects'' estimator does not exist for autoregressive panel data models with initial conditions. We will derive necessary and sufficient conditions for the...

In this paper we consider inference procedures for two types of dynamic linear panel data models with fixed effects. First, we show that the closure of the stationary ARMA panel model with fixed effects can be consistently estimated by the First Difference Maximum Likelihood Estimator and we...

This paper proposes t-like unit root tests which are consistent against any stationary alternatives, nonlinear or noncausal ones included. It departs from existing tests in that it uses an unbounded grid set including all possible values taken by the series. In our setup, thanks to the very...

This paper examines the implications of using VARs in levels under the Max Share identification approach when variables exhibit unit or near-unit roots. We derive the asymptotic distributions of the Max Share estimator, demonstrating that it converges to a random matrix, resulting in...