I introduce a technique to estimate parameters in regressions with reduced rank parameters in a general setting. The framework can handle a general class of parameter restrictions and allows for specifications with heteroskedastic and autocorrelated regression errors. Applications of this...

This paper proposes a new panel model of cross-sectional dependence. The model has a number of potential structural interpretations that relate to economic phenomena such as herding in financial markets. On an econometric level it provides a flexible approach to the modelling of interactions...

This paper proposes new pooled panel unit root tests that are appropriate when the data exhibit cross-sectional dependence that is generated by a single common factor. Using sequential limit arguments, we show that the tests have a limiting normal distribution that is free of nuisance parameters...

This research argues that variations in the interplay between cultural assimilation and cultural diffusion have played a significant role in giving rise to differential patterns of economic development across the globe. Societies that were geographically less vulnerable to cultural diffusion...

International Original Sin is still a persistent and widespread phenomenon, especially in emerging market and developing (EMD) countries. The difficulties that may arise from the inability of countries to borrow internationally in their domestic currency, among other effects, can hamper EMD...

In this paper, we investigate the effects of cross-sectional disturbance correlation on a previously suggested panel data stationarity test. We find that the previously suggested test has a serious size distortion if the disturbances to different cross sections are correlated. We suggest a new...

In this paper, we study the small sample properties of the panel data stationarity test of Hadri (2000). We find that the previously suggested moments, that are to be used when standardizing the panel data stationarity test, cause size distortions when samples are small and serial correlation in...

This paper proposes Lagrange multiplier (LM) based tests for the null hypothesis of no cointegration in panel data. The tests are general enough to allow for heteroskedastic and serially correlated errors, individual specific time trends, and a single structural break in both the intercept and...

Many empirical studies of the economics of crime focus solely on the determinants thereof, and do not consider the dynamic and cross-sectional properties of their data. As a response to this, the current paper offers an in-depth analysis of this issue using data covering 21 Swedish counties from...

In this paper we re-visit a recent theoretical idea introduced by Phillips and Lee (2015). They examine an empirically relevant situation when multiple time series under consideration exhibit different degrees of non-stationarity. By bridging the asymptotic theory of the local to unity and...