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 …

the Pooled Mean Group (PMG) estimation-based error correction model and the panel differenced GMM (General Method of … only in the method of PMG estimation whereas fiscal deficit, government expenditure and interest rate are the statistically … significant determinants of inflation in both methods of estimation …

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 …

We address the issue of estimation and inference in dependent non-stationary panels of small cross-section dimensions …

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 …