pooled timeseries estimation on a forward-looking monetary model, resulting inparameter estimates which are in compliance … with the underlyingtheory. Based on a panel version of the Engle and Granger (1987) two-stepprocedure we find that the … residuals of our pooled estimated modelare stationary. This indicates that on a pooled time series levelthere is cointegration …

for the validity of the monetary exchange rate modelwithin a panel of vector error correction models for three …

Section 4 we demonstrate that in this extended setup Probit - estimation on panel data sets does not pose a specific problem …Mundlak (1978) proposed the addition of time averages to the usual panel equation in order to remove the fixed effects …

high-dimensional space, where estimation of the predictive regression model is based on a shrinkage estimator to avoid …

. Additionally, we consider situations where the regressors exhibit unit roots, thus delving into a nonlinear cointegration framework …

functional represents the limiting distribution for cointegration tests with stationary exogenous regressors, but also for … cointegration tests based on a non-Gaussian likelihood. The approximation is accurate, fast, and easy to use in comparison to both …