In this paper we investigate the validity of the univariate autoregressive sieve bootstrap appliedto time series panels characterized by general forms of cross-sectional dependence, including butnot restricted to cointegration. Using the final equations approach we show that while it ispossible...

Following prospect theory we consider decision making under risk in which the decision maker''s preferences depend on a reference outcome. An outcome below this reference outcome is regarded as resulting from a loss: a loss decreases the decision maker''s basic utility more than a comparable...

This paper proposes a mixed-frequency error-correction model in order to develop a regressionapproach for non-stationary variables sampled at different frequencies that are possiblycointegrated. We show that, at the model representation level, the choice of the timing betweenthe low-frequency...

We propose an approach to investigate the stationarity properties of individual units in a panel based on testing user-defined increasing proportions of hypothesized stationary units sequentially. Asymptotically valid critical values are obtained using the block bootstrap. This sequential...

A number of recently published papers have focused on the problem of testing for a unit root inthe case where the driving shocks may be unconditionally heteroskedastic. These papers have,however, assumed that the lag length in the unit root test regression is a deterministic functionof the...

In spite of the increased use of factor-augmented regressions in recent years, little is knownregarding the relative merits of the two main approaches to estimation and inference, namely, thecross-sectional average and principal components estimators. As a response to this, the currentpaper...