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

for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and … considered are T ϵ {10, 20, 30, 40, 50, 60, 70, 80, 90, 100, 200, 500}. -- panel cointegration test ; correction factor …

compared to the cross-section dimension. -- Panel cointegration ; FM-OLS ; FM-SUR ; DOLS ; DSUR …

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … cointegrating ranks varying from zero to two for fourteen different panel dimensions. The usual specifications of deterministic … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …

. -- panel cointegration ; fully modified ordinary least squares ; fully modified seemingly unrelated regression ; dynamic …

Present paper considers structural break in panel AR(1) model which allows instability in mean, variance and … existing panel data time series model considering break studied by Levin et al. (2002), Pesaran (2004), Bai (2010), Liu et al …

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 …

panel cointegrated regression models. Monte Carlo results illustrate the sampling behavior of the proposed estimators and …

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