In this paper the class of admissable tests for unit roots in panel data sets of autoregressive, Gaussian time series …

This paper proposes a new likelihood-based panel cointegration rank test which extends the test of Örsal & Droge (2012 …) (henceforth Panel SL test) to allow for cross-sectional dependence. The dependence is modelled by unobserved common factors which … panel analysis of nonstationarity in idiosyncratic and common components (PANIC) approach of Bai & Ng (2004) and the …

(DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all …

This paper argues that cross-sectional dependence (CSD) is an indicator of misspecification in panel quantile … regression (QR) rather than just a nuisance that may be accounted for with panel-robust standard errors. This motivates the … development of a novel test for panel QR misspecification based on detecting CSD. The test possesses a standard normal limiting …

; Panel data …

A new panel data model is proposed to represent the behavior of economies in transition allowing for a wide range of … formulated as a nonlinear time varying factor model. When applied to a micro panel, the decomposition provides flexibility in … idiosyncratic behavior over time and across section, while retaining some commonality across the panel by means of an unknown common …

This paper focuses on inference based on the usual panel data estimators of a one-way error component regression model … usual panel data estimators ignore this dependence. Two popular forms of spatial autocorrelation are considered, namely … spatial coefficients are large, test of hypothesis based on the usual panel data estimators that ignore spatial dependence can …