This paper examines long-range dependence in the inflation rates of the G7 countries by estimating their (fractional …

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in … applications to Fisher's inflation parity and real equity prices across different markets illustrate how the proposed test works in …

We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with …-sectional (N) and time (T) dimensions and varying degrees of parameter heterogeneity. We investigate conditions under which panel … pretesting tool. Through a set of Monte Carlo simulations and three empirical applications to house prices, CPI inflation, and …

This paper considers a first-order autoregressive panel data model with individual-specific effects and a heterogeneous …

Despite the fact that many aggregates are nonlinear functions and the aggregation weights of many macroeconomic …, time-invariant aggregation weights. In this study a framework for nonlinear contemporaneous aggregation with possibly … with simulations. Two examples based on European unemployment and inflation series are used to illustrate the virtue of the …

which 'observed' inflation persistence at the aggregate level is due to aggregation and/or common unobserved factors. Our …This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is … Pesaran (2003), an optimal aggregate function is derived, and the limiting behavior of the aggregation error is investigated …

degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the …

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in … applications to Fisher's inflation parity and real equity prices across different markets illustrate how the proposed test works in …