The purpose of this paper is to apply recent advances in the econometrics of panel data to a problem that has a clear spatial dimension. We model the dynamic adjustment of real house prices using data at the level of US States. In the last decade, in most OECD countries there has been a...

For testing unit root in single time series, most tests concentrate on the time domain. Recently, Fan and Gençay (Econom Theory 26:1305–1331, <CitationRef CitationID="CR8">2010</CitationRef>) proposed a wavelet ratio test which took advantage of the information from the frequency domain by using a wavelet spectrum methodology. This...</citationref>

This paper extends the Common Correlated Effects (CCE) approach developed by Pesaran (2006) to heterogeneous panel data models with lagged dependent variable and/or weakly ex-ogenous regressors. We show that the CCE mean group estimator continues to be valid but the following two conditions must...

The paper proposes statistics to test the null hypothesis of no cointegration in panel data when common factors drive the cross sectional dependence. We consider both the case in which regressors are independent of the common factors and the case in which regressors are correlated with the...

We propose a nonlinear heterogeneous panel unit root test for testing the null hypothesis of unit-roots processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root...

This paper applies panel unit-root tests that allow for structural breaks and cross-sectional dependence to examine the validity of hysteresis in gender unemployment rates and gender unemployment gap for a panel of 15 European countries. Addressing breaks, there is evidence to reject the null...

We propose a nonlinear heterogeneous unit root test for testing the null hypothesis of unitroots processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root processes....

This paper tests for long run PPP using a nonstationary panel regression framework that can accommodate both permanent and temporary shocks. It also uses the common correlated estimator of Pesaran (2003a) to take account of cross sectional dependence. The PPP null in our framework is a unit...

We propose a nonlinear heterogeneous panel unit root test for testing the null hypothesis of unit-roots processes against the alternative that allows a proportion of units to be generated by globally stationary ESTAR processes and a remaining non-zero proportion to be generated by unit root...