presence of incidental trends in panel unit root test setting is ubiquitous. …

integration ; misalignment ; second-generation panel unit-root and cointegration tests …

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 …

by applying "gsecond generation" panel cointegration techniques. A unique identification strategy for the selection of … sub-panels improves the robustness of panel cointegration tests and reveals that Laender finances are hardly sustainable. …

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

This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao …

This paper considers spatial autoregressive panel data models and extends their analysis to the case where the spatial … section dimensions of the panel are large. It derives the asymptotic covariance matrix of the QML estimators allowing for the … sample properties for panels with moderate time dimensions and irrespective of the number of cross section units in the panel …