To test the hypothesis of a difference stationary time series against a trend stationary alternative, Levin and Lin (1993) and Im, Pesaran and Shin (1997) suggest bias adjusted t-statistics. Such corrections are necessary to account for the nonzero mean of the t-statistic in the case of an OLS...

In this paper a parametric framework for stimation and inference in cointegrated panel data models is considered that is based on a cointegrated VAR(p) model. A convenient two-step estimator is uggested where in the first step all individual specific parameters are estimated, whereas in the...

This paper proposes a new framework for studying the effects of monetary policy on business investment. Important ambiguities with the modeling of investment dynamics and interactions between real and financial decisions suggest modeling investment spending as a VAR. Based on a panel of...