This paper proposes a new likelihood-based panel cointegration rank test which extends the test of Örsal & Droge (2012 …) (henceforth Panel SL test) to allow for cross-sectional dependence. The dependence is modelled by unobserved common factors which … panel analysis of nonstationarity in idiosyncratic and common components (PANIC) approach of Bai & Ng (2004) and the …

risks. With a slight reformulation of the loss function and a standard factor decomposition of a panel of forecasts, we show …

This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The … combined to develop the panel statistics. A simulation study shows that the tests have reasonable size and power properties in …

standard factor decomposition of a panel of forecasts, we show that the uncertainty of a typical forecaster can be expressed as …

In this paper the class of admissable tests for unit roots in panel data sets of autoregressive, Gaussian time series …

This paper considers the problem of hypotheses testing in a simple panel data regression model with random individual … distributions of the standard panel data estimators, this paper focuses on test of hypotheses in this setting. One important finding … Perron and Yabu (2009) to make inference in panel data. In fact, we show that the simple t-ratio always converges to the …

We introduce a new jackknife variance estimator for panel-data regressions. Our variance estimator can be motivated as …

This paper provides a new methodology for the analysis of multiple long run relations in panel data models where the … cross section dimension, n, is large relative to the time series dimension, T. For panel data models with large n … approach is illustrated with an application to key financial variables using an unbalanced panel of US firms from merged CRSP …

standard factor decomposition of a panel of forecasts, we show that the uncertainty of a typical forecaster can be expressed as …