In this paper we present a unit root test against a nonlinear dynamic heterogenous panel with each cross section …

algorithm are developped. We apply this framework to a large panel of US monthly macroeconomic series. In particular, we …

algorithm are developed. We apply this framework to a large panel of US monthly macroeconomic series. In particular, we identify …

measurement errors in an autoregressive panel data model. Finite memory of disturbances, latent regressors and measurement errors … inference using the level version of the equation seems superior to inference based on the equation in differences. -- Panel …

We propose a Bayesian approach to dynamic panel estimation in the presence of cross-sectional dependence and dynamic … by estimating a panel VAR on sector level data for labour productivity and hours worked growth for Canada, Germany …

station level adjustment mechanisms in dynamic panel regressions with climate data. The paper provides asymptotic analyses … standard dynamic panel regression and cointegration techniques that have been used in earlier research. The findings reveal … massive bias in system GMM estimation of the dynamic panel regression parameters, which arise from fixed effect heterogeneity …