of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …

misspecificity involved in compressed regression models. Methodologically, a multicountry large structural Panel Vector …

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 …

international agricultural prices and five international fertilizer prices in a panel framework. The study uses panel VAR methods … and Granger causality tests on panel data sets of agricultural commodity prices (as well as specific agricultural … present study supports bidirectional panel causality effects between crude oil prices and international agricultural prices as …