This paper investigates the size distortions of HCCME-based tests for serial correlation and the wild bootstrapped counterparts in the presence of asymmetric conditional heteroskedasticity. Thereby, asymmetric effects are allowed to enter the residual process of the dynamic regression model in...

In this article, convergence of unit labor cost (ULC) inflation within the Euro area is tested by means of panel unit root tests. To account for the small cross-sectional dimension, cross-sectional dependence of model innovations and time varying volatility, wild bootstrap critical values are...

When production functions are estimated as frontier functions, the deviations from the frontier can be interpreted as individual inefficiency estimates. Unfortunately, it has recently been shown that efficiency differences across individuals are very often statistically insignificant. In this...