The present thesis comprises two rather independent chapters. In general, the diagnosis and quantification of dependence is a major aim of econometric studies. Along these lines, the concept of dependence serves as an encompassing framework to analyze time series with two very different...

Based on a cross section of 17 advanced economies and data for the period 1975 to 2015, we examine how the interaction between monetary policy and macroeconomic conditions affects inflation uncertainty in the long-term. We construct a proxy for the unobservable inflation uncertainty based on the...

The low capital mobility among OECD countries, signalled by a high saving-investment (SI) relation and known as the Feldstein-Horioka puzzle, has triggered a lively discussion in the empirical literature. In this paper, we compare between, pooled, time and country dependent specifications of the...

In panel data econometrics the Hausman test is of central importance to select an e?cient estimator of the models' slope parameters. When testing the null hypothesis of no correlation between unobserved heterogeneity and observable explanatory variables by means of the Hausman test model...

The low capital mobility among OECD countries, signalled by a high saving-investment (SI) relation and known as the Feldstein-Horioka puzzle, has triggered a lively discussion in the empirical literature. In this paper, we compare between, pooled, time and country dependent specifications of the...

Noting that many economic variables display occasional shifts in their second order moments, we investigate the performance of homogenous panel unit root tests in the presence of permanent volatility shifts. It is shown that in this case, panel unit root tests derived under time invariant...

In this dissertation new test statistics for the (panel) unit root hypothesis are presented. Besides a novel approach to testing the unit root hypothesis in univariate time series, the major part of this thesis is dedicated to unit root testing in cross sectionally dependent panels with...

In panel data econometrics the Hausman test is of central importance to select an e±cient estimator of the models' slope parameters. When testing the null hypothesis of no correlation between unobserved heterogeneity and observable explanatory variables by means of the Hausman test model...