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 … addition the estimation of the number of factors as well as the factors themselves. Small sample properties of the proposed …

markets, LIBOR markets have minimal frictions which could lead to rejecting UIP. Using panel unit root test suggested by Palm …, when market-specific heterogeneity is controlled for. Furthermore, the estimation results show that the speed of adjustment …

This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and … Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

trade using a theory-consistent structural gravity model. We exploit a rich panel data set including domestic trade flows …

administrative districts between 2003 and 2016. Employing different standard panel estimation methods, we show that there is no …The paper analyses the empirical relationship between immigrants and crime using panel data for 391 German …, omitted variables and spatial correlation. Furthermore, taking advantage of the panel-structure of the data set we employ an …

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 …

the 2019Q1-2021Q2 period using a dynamic panel approach, specifically the system Generalized Method of Moments (GMM). In …