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...

Several panel unit root tests that account for cross section dependence using a common factor structure have been proposed in the literature recently, notably Pesaran (2003), Moon and Perron (2004) and Bai and Ng (2004). This paper is aimed at comparing these three proposed unit root tests for...

To study non-durable import demand, we extend previous work done by Clarida (1994) and Ceglowski (1991) by considering a two-good version of the life cycle model in which we introduce time-nonseparability in the households'' preferences. The model is estimated using quarterly data for US and...

We present an efficiency wage model in which workers'' effort depends on the level and on the growth rate of their wage relative to an alternative wage. Using data for four countries (US, UK, FR, GY), the implications of the model are examined and are found to be in accordance with the...

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 study and compare the properties of several bootstrap unit root tests recently proposed in the literature. The tests are Dickey-Fuller or Augmented DF-tests, either based on residuals from an autoregression and the use of the block bootstrap (Paparoditis & Politis, 2003) or on...

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...

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...

This paper considers a cointegrated panel data model with common factors. Starting from the triangular representation of the model as used by Bai et al. (2008) a Granger type representation theorem is derived. The conditional error correction representation is obtained, which is used as a basis...

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...