This paper reports the results of a series of Monte Carlo exercises to contrast the forecasting performance of several panel data esti- mators, divided into three main groups (homogeneous, heterogeneous and shrinkage/Bayesian). The comparison is done using di¤erent lev- els of heterogeneity,...

This paper develops a novel asymptotic theory for panel models with common shocks. We assume that contemporaneous correlation can be generated by both the presence of common regressors among units and weak spatial dependence among the error terms. Several characteristics of the panel are...

In this paper, we propose an estimation and testing framework for parameter instability in cointe- grated panel regressions with common and idiosyncratic trends. We develop tests for structural change for the slope parameters under the null hypothesis of no structural break against the...

We consider the issue of cross-sectional aggregation in nonstationary and heterogeneous panels where each unit cointegrates. We derive asymptotic properties of the aggregate estimate, and necessary and su¢ cient conditions for cointegration to hold in the aggregate relationship. We then analyze...

This paper investigates the role of cross-sectional dependence among private forecasters, assessing its impact on the measurement and use of the forecasting uncertainty. We determine the circumstances under which cross-sectional measures of uncertainty (such as the disagreement across...

This paper considers bootstrapping nonstationary panel factor mod- els when possible time dependence is present in the factors dynamics. The analysis does not assume any speci.c DGP, and a sieve bootstrap algorithm is proposed to approximate the autocorrelation structure of the processes...

This paper discusses the use of rights issues when interest conflicts between controlling shareholders and minorities arise due to the existence of private benefits that the former can extract from the value of a listed company. While the literature considers the issue of pre-emptive rights as...