within a panel cointegration framework. Besides the total net issues, we distinguish between large, medium and small euro … purposes, we also present panel results for eight non-euro area countries (Australia, Canada, Japan, Norway, Sweden …

panel cointegration framework. Besides the traditional determinants of cash demand like transactions balances and …

This paper provides a new methodology for the analysis of multiple long run relations in panel data models where the … cross section dimension, n, is large relative to the time series dimension, T. For panel data models with large n … linkages. To our knowledge, no other estimation procedure exists for this setting. We show the PME estimator is consistent and …

This paper uses panel vector autoregressive models and simulations of an estimated DSGE model to explore the reaction …

analysis, we conduct formal tests on fiscal sustainability, including tests on stationarity and cointegration and the … estimation of Vector Autoregression (VAR) and Vector Error Correction Models (VECM). While we cannot reject the hypothesis that …

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 …

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 …