This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong … contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS esimators of the …

multiplier is inversely correlated with r-g. The calculations are based on the estimates of a factor-augmented interacted panel …

We build a factor-augmented interacted panel vector-autoregressive model of the Euro Area (EA) and estimate it with …

We combine some newly developed panel co-integration techniques and common factor analysis to analyze the behavior of …

An error-correction model identifies determinants of growth consistent with results from panel regressions based on a …

value models become extremely sensitive to small sample estimation error. Moreover, traditional Wald tests will distort the …

In this paper, we derive evidence on the integration of international stock markets from the cointegration properties … of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six … subgroup analyses also indicate that the cointegration relationships have become stronger over time. This is consistent with …