forecast models. In addition to the standard Diebold-Mariano test, we employ tests that account for specific problems typically …

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset …

This paper proposes a modified version of Swamy's test of slope homogeneity for panel data models where the cross … section dimension (N) could be large relative to the time series dimension (T). The proposed test exploits the cross section …

, and can be used to test for cross section dependence of any fixed order p, as well as the case where no a priori ordering … small sample properties of the tests are investigated and compared to the Lagrange multiplier test of Breusch and Pagan …, and as predicted by the theory, quite robust to the presence of unit roots and structural breaks. The use of the CD test …

residuals. We show the asymptotic consistency of the cross section dependence (CD) test of Pesaran (2004). In Monte Carlo … experiments it emerges that the CD test has the correct size for any combination of N and T whereas the LM test relies on T large …

shown that the implicit null of the CD test depends on the relative expansion rates of N and T. It is argued that in the … restrictive for large panels. Using Monte Carlo experiments, it is shown that the CD test has the correct size for values of the …