weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first … letting the time dimension of the panel go to infinity and then letting its cross-sectional dimension go to infinity. The …

In this paper a parametric framework for stimation and inference in cointegrated panel data models is considered that …

This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time … dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a …

common stochastic trends and common stochastic cycles. When modeling the dynamics of multiple time series for a panel of …