We show how the use of panel data methods such as those proposed in single equations by Kao (1999) and Pedroni (1999 … literature assumes that such relations, that tie the units of the panel together, are not present. Using empirical examples from … a panel of OECD countries we show that this assumption is very likely to be violated. Simulations of the properties of …

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important …

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important …

Panel datasets have been increasingly used in economics to analyse complex economic phenomena. One of the attractions … of panel datasets is the ability to use an extended dataset to obtain information about parameters of interest which are … assumed to have common values across panel units. However, the assumption of poolability has not been studied extensively …

An attractive feature of panel unit root tests is the ability to exploit coefficient homogeneity under the null …, under the alternative hypothesis of heterogeneous panel unit root tests of at least one series being stationary, the …

The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the … common factor framework is carried out in order to allow for dependence among the units of the panel. …

Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the paper … used to design a panel cointegration test statistic accounting for cross-section dependence. The performance of the …

The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the … common factor framework is carried out in order to allow for dependence among the units of the panel …

This paper provides an approach to estimation and inference for non-linear conditional mean panel data models, in the …