This paper proposes a similar unit root testing procedure for heterogeneous dynamic panel data, based on the score … principle, assuming that the time dimension of the panel is fixed …

these variables. This means that the conventional cointegration tests may not be robust. Using a more appropriate periodic … cointegration test, our results nevertheless fail to support the present value model, thus reinforcing the case against the …

setting using newly developed panel unit root, cointegration, and long-run dynamic estimation approaches. This study employed …-run relationship between share price and dividends using panel data. However, the application of recently established panel econometric … a panel dataset of 60 Bombay Stock Exchange (BSE)-listed Indian firms paying regular dividends for 28 years (1990 …

the tests without estimating nuisance parameters. The tests include panel unit root and cointegration tests as special …This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated … shown that subsampling provides asymptotic distributions that are equivalent to the asymptotic distributions of the panel …

assets using a pooled panel regression. Finally, comparing our results to previous research we find evidence that price …