common stochastic trends and common stochastic cycles. When modeling the dynamics of multiple time series for a panel of … investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …

This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time … dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a … derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that …

derived from economic theory or institutional constraints. Sometimes the restrictions are insufficient for identifying all …

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial …

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

little evidence for them. We argue that this outcome could be due to episodic failure of cointegration, possible two … pooled mean group estimator (SPMG) to deal with these features. Using this new panel estimator and a dataset spanning almost …