This article is aimed at verifying the fulfilment of the Fisher hypothesis for a panel of 15 EU countries using the recent developments in the estimation of panel cointegration models with cross-sectional dependence generated by unobservable global stochastic trends (Bai et al., 2009). Bai et...

We propose a new testing procedure to determine the rank of cointegration. This new method is based on the nonparametric resampling procedure, so-called Residual-Based Block Bootstrap (RBB), which is developed by Paparoditis and Politis (2003) in the context of unit root testing. Through Monte...