This paper provides a new methodology for the analysis of multiple long run relations in panel data models where the … cross section dimension, n, is large relative to the time series dimension, T. For panel data models with large n … estimates of the long run coefficients show small bias and RMSE and have good size and power properties. The utility of our …

PMG, PDOLS and FMOLS. This paper also considers application of two bias-correction methods and a bootstrapping of critical …

Most of the existing literature on panel data cointegration assumes cross-sectional independence, an assumption that is … difficult to satisfy. This paper studies panel cointegration under cross-sectional dependence, which is characterized by a … factor structure. We derive the limiting distribution of a fully modified estimator for the panel cointegrating coefficients …

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial …

In this paper, we consider the estimation of a dynamic panel data model with non-stationary multi-factor error …