We analyze a new fluctuation test for constant correlation with respect to its properties and possible applications in …

generation panel cointegration tests. Unlike their predecessors, these new tests assume the existence of cross-section dependence …

Panel cointegration, structural break, common factors, cross-section dependence …

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 … common factor framework is carried out in order to allow for dependence among the units of the panel. JEL Classification: C12 …

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 … common factor framework is carried out in order to allow for dependence among the units of the panel. …

This paper proposes a new panel unit root test based on the generalized method of moments approach for panels with a …

The stationarity of OECD real exchange rates over the period 1972-2008 is tested using a panel of twenty six member … countries. The methodology followed stems from the need to meet several key concerns: (i) the identification of which panel … members are stationary; (ii) the presence of cross-sectional dependence among the countries in the panel; and (iii) the …

effects on estimation and inference. In this article, we conduct a variety of unit root tests on all possible N(N + 1)/2 real …