The fixed-b asymptotic framework provides refinements in the use of heteroskedasticity and autocorrelation consistent variance estimators. We show however that the fixed-b limiting distributions of t-statistics are not pivotal when the variance of the underlying data generating process changes...

This paper proposes a new likelihood-based panel cointegration rank test which allows for a linear time trend with heterogeneous breaks and cross sectional dependence. It is based on a novel modification of the inverse normal method which combines the p-values of the individual likelihood-ratio...

While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional heteroskedasticity as long as global homoskedasticity conditions are fulfilled, they are certainly affected when the innovations exhibit time-varying volatility. Worse yet, distortions...

Within the internal research plan of the Research Institute for Agrarian Economy and Rural Development, runs the project entitled "Marketing studies for sustainable agri-food products and consumption behavior analysis, in the European Strategy from farm to Fork objectives context". This paper...

Within the internal research plan of the Research Institute for Agrarian Economy and Rural Development, the project entitled "Marketing studies for sustainable agri-food products and analysis of consumption behavior, in the objectives context of the European strategy From farm to Fork (From farm...

This paper discusses two longstanding questions in growth econometrics which involve multiple hypothesis testing. In cross sectional GDP growth regressions many variables are simultaneously tested for significance. Similarly, when investigating pairwise convergence of output in panel data sets...

The so-called Cauchy estimator uses the sign as instrument for the first lag in autoregressions, and the resulting t-type statistic has a standard normal distribution even in the unit root case. Thus, nonstandard asymptotics of the usual unit root tests such as the augmented Dickey-Fuller [ADF]...

In this paper, we propose three new tests for serial correlation in the disturbances of fixed-effects panel data models. First, a modified Bhargava, Franzini and Narendranathan (1982) panel Durbin-Watson statistic that does not need to be tabulated as it follows a standard normal distribution....

In this paper I discuss the estimation of the process governing the structural shocks (or wedges) to a DSGE model, arguing that a well-specified model would satisfy certain sets of moment conditions. Based on tests for overidentifying restrictions, I compare three specifications of the Taylor...