This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of insights from the multiple testing literature. The method tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...

A transformed likelihood approach is suggested to estimate fixed effects dynamic panel data models. Conditions on the data generating process of the exogenous variables are given to get around the issue of ?incidental parameters?. The maximum likelihood (MLE) and minimum distance estimator (MDE)...

This paper This paper develops a new approach to the problem of testing the existence of a long-run level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend- or first-difference stationary. The...

This paper discusses the ?structural cointegrating VAR? approach to macroeconometric modelling and compares it to other approaches currently followed in the literature, namely, the large-scale simultaneous equation macroeconometric models, the structural VARs, and the dynamic stochastic general...

This paper investigates the long-run effects of public debt and inflation on economic growth. Our contribution is both theoretical and empirical. On the theoretical side, we develop a cross-sectionally augmented distributed lag (CS-DL) approach to the estimation of long-run effects in dynamic...

This paper develops a cross-sectionally augmented distributed lag (CS-DL) approach to the estimation of long-run effects in large dynamic heterogeneous panel data models with cross-sectionally dependent errors. The asymptotic distribution of the CS-DL estimator is derived under coefficient...

An understanding of the spatial dimension of economic and social activity requires methods that can separate out the relationship between spatial units that is due to the effect of common factors from that which is purely spatial even in an abstract sense. The same applies to the empirical...

This paper develops a long-run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the "Dutch disease" and the "resource curse", which primarily focuses on...

This paper presents two generalisations of the existing cointegration analysis literature. Firstly, the problem of efficient estimation of vector error correction models containing I(1) exogenous variables is considered and the asymptotic distributions of the log-likelihood ratio statistics for...