Panel unit-root and no-cointegration tests that rely on cross-sectional independence of the panel unit experience severe size distortions when this assumption is violated, as has, for example, been shown by Banerjee, Marcellino and Osbat ["Econometrics Journal" (2004), Vol. 7, pp. 322-340;...

In this paper, the author discusses the appropriateness of treating explanatory variables of a single-equation error correction model as being weakly exogenous. He restates the derivation of the error correction model, and particularly the single-equation conditional error correction model, both...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>In this article, we investigate the validity of the univariate autoregressive sieve bootstrap applied to time series panels characterized by general forms of cross-sectional dependence, including but not restricted to cointegration. Using the final equations...</p>