This paper introduces a novel approach to study the effects of common shocks on panel data models with endogenous explanatory variables when the cross section dimension (N) is large and the time series dimension (T) is fixed: this relies on conditional strong laws of large numbers and...

This article provides a selective review on the recent developments of some nonlinear nonparametric and semiparametric panel data models. In particular, we focus on two types of modelling frameworks: nonparametric and semiparametric panel data models with deterministic trends, and semiparametric...

This paper investigates cross-country evidence on how capital markets affect business cycle volatilities. In contrast to the large and growing literature of finance and growth, empirical work on the relationship between finance, particularly capital markets, and volatility has been relatively...

This paper applies univariate and panel data unit root tests to annual panel data for 182 countries over the period 1979-2000 to examine the stationarity properties of per capita energy consumption. The univariate unit root test can only reject the unit root null for 29 per cent of the countries...

This paper investigates the relationships of capital market, severity of economic contraction, and probability of an economic downturn. The finding supports a theoretical prediction that countries with more advanced capital markets would face less severe business cycle output contraction, and a...

This paper investigates the relationships of capital markets, frequency of recession, and fraction of time the economy is in recession. The main finding is that frequency of recession is not robustly linked to measures of capital market development. However, the fraction of time the economy...

The paper presents panel data evidence for 13 transition countries on inflation, financial development and growth. It contributes to the growth literature by showing that the transition countries conform to developed country evidence in particular with the strong negative effect of inflation on...

In this paper two new estimators are offred (one each for the fixed random effects specifications), and small sample performance compared with that of all the existing estimators.

In this paper we analyse systematically through Monte Carlo simulations the consequences of misspecified heterogeneity on the most popular linear panel data models. We also illustrate our findings, through the estimation of a well known investment demand model.