This paper provides a new methodology for the analysis of multiple long run relations in panel data models where the … cross section dimension, n, is large relative to the time series dimension, T. For panel data models with large n … approach is illustrated with an application to key financial variables using an unbalanced panel of US firms from merged CRSP …

This paper provides a review of the literature on unit roots and cointegration …

degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration, the …This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …

This paper considers estimation and inference in fixed effects (FE) panel regression models with lagged dependent … generalization of the Nickell type bias derived in the literature for the pure dynamic panel data models. It shows that in the … sufficiently small. To deal with the bias and size distortion of FE estimator when NN is large relative to TT, the use of half-panel …

This paper considers estimation and inference in linear panel regression models with lagged dependent variables and … generalizes the well known Nickell bias formula derived for the pure autoregressive dynamic panel data models. It shows that in … N/T is sufficiently small. To deal with the bias and size distortion of FE-TE estimator the use of half-panel Jackknife …

This paper considers a first-order autoregressive panel data model with individual-specific effects and a heterogeneous …