We study dynamic panel data models where the long run outcome for a particular cross-section is affected by a weighted average of the outcomes in the other cross-sections. We show that imposing such a structure implies several cointegrating relationships that are nonlinear in the coefficients to...

We study dynamic panel data models where the long run outcome for a particular cross-section is affected by a weighted average of the outcomes in the other cross-sections. We show that imposing such a structure implies several cointegrating relationships that are nonlinear in the coefficients to...

This Special Issue was organized in relation to the fifth Vienna Workshop on High-Dimensional Time Series in Macroeconomics and Finance, which took place at the Institute for Advanced Studies in Vienna on 9 June and 10 June 2022 [...]

In this article we estimate default intensities within the continuous time Jarrow/Turnbull (1995) model from daily observations of German bank bond prices, based on the default-free term structure estimated from the Svensson (1994) model provided by the Deutsche Bundesbank. Cross-sectional and...

We study dynamic panel data models where the long run outcome for a particular cross-section is affected by a weighted average of the outcomes in the other cross-sections. We show that imposing such a structure implies several cointegrating relationships that are nonlinear in the coefficients to...

The ``REtrieval from MIxed Sampling'' (REMIS) approach based on blocking developed in Anderson et al. (2016) is concerned with retrieving an underlying high frequency model from mixed frequency observations. In this paper we investigate parameter-identifiability in the Johansen (1995) vector...