This paper considers spatial autoregressive panel data models and extends their analysis to the case where the spatial coefficients differ across the spatial units. It derives conditions under which the spatial coefficients are identified and develops a quasi maximum likelihood (QML) estimation...

This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the multiple testing (MT) literature. The approach tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...

The 2007-2008 global financial crisis and the subsequent anemic recovery have rekindled academic interest in quantifying the impact of uncertainty on macroeconomic dynamics. This paper studies the interrelation between financial markets volatility and economic activity assuming that both...

A relatively simple frequency-type testing procedure for unit root potentially contaminated by an additive stationary noise is introduced, which encompasses general settings and allows for linear trends. The proposed test for unit root versus stationarity is based on a finite number of...