This article is our personal perspective on the IPS test and the subsequent developments of unit root and cointegration …

This paper analyses the short- and long-run effects of trade openness on financial development in a panel including …

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 …

degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T …

monthly) are analysed using fractional integration and fractional cointegration methods. Further, recursive cointegration … exhibit long memory. There is cointegration between the ASEAN five and the US but almost none between the former and China …

-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …

differences. Arguably, this shortcoming is rooted in the lack of an appropriate MIMIC model which considers cointegration among … variables. This paper develops a MIMIC model which estimates the cointegration equilibrium relationship and the error correction …

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties …

22 stock indices are analysed applying fractional integration/cointegration methods to daily data, first for a sample …