In this paper we investigate the validity of the univariate autoregressive sieve bootstrap appliedto time series panels characterized by general forms of cross-sectional dependence, including butnot restricted to cointegration. Using the final equations approach we show that while it ispossible...

In spite of the increased use of factor-augmented regressions in recent years, little is knownregarding the relative merits of the two main approaches to estimation and inference, namely, thecross-sectional average and principal components estimators. As a response to this, the currentpaper...

With the development of real-time databases, N vintages are available for T observations instead of a single realization of the time series process. Although the use of panel unit root tests with the aim to gain in efficiency seems obvious, empirical and simulation results shown in this paper...

This paper proposes a mixed-frequency error-correction model in order to develop a regressionapproach for non-stationary variables sampled at different frequencies that are possiblycointegrated. We show that, at the model representation level, the choice of the timing betweenthe low-frequency...

We combine the issues of dealing with variables sampled at mixed frequencies and the use ofreal-time data. In particular, the repeated observations forecasting (ROF) analysis of Stark andCroushore (2002) is extended to an autoregressive distributed lag setting in which the regressorsmay be...

This paper illustrates analytically the effects of cross-unit cointegration using as an example the conventional pooled least squares estimate in the spurious panel regression case. The results suggest that the usual result of asymptotic normality depends critically on the absence of cross-unit...

Panel unit root and no-cointegration tests that rely on cross-sectional independence of the panel unit experience severe size distortions when this assumption is violated, as has e.g. been shown by Banerjee, Marcellino and Osbat (2004, 2005) via Monte Carlo simulations. Several studies have...

In this paper we consider the issue of unit root testing in cross-sectionally dependent panels. We consider panels that may be characterized by various forms of cross-sectionaldependence including (but not exclusive to) the popular common factor framework. Weconsider block bootstrap versions of...

The purpose of this paper is to review and discuss the key improvements brought to OxGauss. Without having to install Gauss on his or her machine, the OxGauss user can run under Ox a wide range of Gauss programs and codes. Even with the console Ox version (free for academics), Gauss codes can...

In this paper we propose a bootstrap version of the Wald test for cointegration in a single-equation conditional error correction model. The multivariate sieve bootstrap is used to deal with dependence in the series. We show that the introduced bootstrap test is asymptotically valid.We also...