Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a fractionally cointegrated model can provide statistically and/or economically significant forecasts of commodity returns. Specifically, we propose to model and forecast commodity...

In this paper, we test the bank lending channel of monetary policy transmission in Sweden. Using a panel of bank balance sheet data covering the period 1998:M1 to 2003:M6, we test for bank loan supply shifts by segregating banks by asset size, liquidity and capitalization. The main result is...

This paper proposes new pooled panel unit root tests that are appropriate when the data exhibit cross-sectional dependence that is generated by a single common factor. Using sequential limit arguments, we show that the tests have a limiting normal distribution that is free of nuisance parameters...

This paper proposes Lagrange multiplier (LM) based tests for the null hypothesis of no cointegration in panel data. The tests are general enough to allow for heteroskedastic and serially correlated errors, individual specific time trends, and a single structural break in both the intercept and...

One of the most cited studies in recent years within the field of nonstationary panel data analysis is that of Bai and Ng (2004, A PANIC Attack on Unit Roots and Cointegration. Econometrica 72, 1127-1177), in which the authors propose PANIC, a new framework for analyzing the nonstationarity of...

In a recent study, Bai (Fixed-Effects Dynamic Panel Models, A Factor Analytical Method. Econometrica 81, 285-314, 2013a) proposes a new factor analytic (FA) method to the estimation of dynamic panel data models, which has the unique and very useful property that it is completely bias-free....

In this article, we propose a new estimator of panel data models with interactive fixed effects and multiple structural breaks that is suitable when the number of time periods, T, is fixed and only the number of cross-sectional units, N, is large. This is done by viewing the determination of the...

We study the effect of treatment on an outcome when parallel trends hold conditional on an interactive fixed effects structure. In contrast to the majority of the literature, we propose identification using time-varying covariates. We assume the untreated outcomes and covariates follow a common...

One of the most popular estimators of interactive effects panel data models is the common correlated effects (CCE) approach, which uses the cross-sectional averages of the observables as proxies of the unobserved factors. The present paper proposes a simple test that is suitable for testing...

This study develops new rank tests for panels that include panel unit root tests as a special case. The tests are unusual in that they can accommodate very general forms of both serial and cross-sectional dependence, including cross-unit cointegration, without the need to specify the form of...