This paper employs recently developed non stationary panel methodologies that assume some cross-section dependence to … (FMOLS) estimators developed by Pedroni (1996, 2000, 2001) and the Panel Dynamic OLS (PDOLS) estimator proposed by Mark and …

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 … linkages. To our knowledge, no other estimation procedure exists for this setting. We show the PME estimator is consistent and …

In this paper, we propose an estimation and testing framework for parameter instability in cointegrated panel …

We study semi-parametric estimation and inference in cointegrated panels with endogenous feedback, allowing for general … Phillips and Hansen (1990) that use a spectral [non-parametric] estimation of the residual asymptotic covariance matrix to …

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

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

We address the issue of estimation and inference in dependent non-stationary panels of small cross-section dimensions … compared to the cross-section dimension. -- Panel cointegration ; FM-OLS ; FM-SUR ; DOLS ; DSUR …

The authors address the issue of estimation and inference in dependent non-stationary panels of small cross …. -- 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 …