This paper presents results concerning the performance of both single equation and system panel cointegration tests and … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the …

under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is … unavailable, such as the linear AR(p) panel model. For the AR(p) model, there exists a correction function to fix the incidental … in both parameter estimation and model selection. -- dynamic panel data model with fixed effect ; incidental parameter …

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 …

We consider a latent group panel structure as recently studied by Su, Shi, and Phillips (2016), where the number of …

-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …

panel data models are growing exponentially in number. However, for researchers it is hard to make a reasoned choice between …

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

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

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

which N can grow simultaneously to T for the tests statistics of panel group-mean of time-series estimators to be …