Chudik, Alexander; Pesaran, M. Hashem; Smith, Ron - 2022
little evidence for them. We argue that this outcome could be due to episodic failure of cointegration, possible two …-way causality between the variables in the ratios, and cross-country error dependence due to latent factors. We propose a new system … pooled mean group estimator (SPMG) to deal with these features. Using this new panel estimator and a dataset spanning almost …