Dées, Stéphane; Di Mauro, Filippo; Pesaran, M. Hashem; … - 2005
such as real GDP, in�a-
tion, interest rates and exchange rates collected in the vector x
it
,overtime,
t =1,2...,T, and … factors by the m
f
� 1 vector f
t
, and assume that
4
x
it
= δ
i0
+δ
i1
t +Γ
id
d
t
+Γ
if
f
t
+ξ
it
, for i =0,1,...,N; t =1 … representing the country-speci�ceffects involving
lagged values of x
it
or country-speci�c dummy variables capturing major …