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 … when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power …

unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we … national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and …

unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we … national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and …

In this study, we analyse the sustainability of fiscal policy of EU member countries within the panel cointegration and … error-correction frameworks. Unlike the previous empirical papers in this area, we apply the test for panel cointegration … panel cointegration relationship. In a next step, we search for the politico-economic factors which explain the variation in …

conventional residual-based cointegration tests employed fail to identify any meaningful long run relationship in both functions …, the Gregory- Hansen structural break cointegration approach confirms the cointegration relationships despite the …

cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend …