misspecificity involved in compressed regression models. Methodologically, a multicountry large structural Panel Vector … predictors, where robust stands for the use of mixtures of proper conjugate priors. Concerning dynamic analysis, volatility …

of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …

the period 1980 - 2007. Based on a panel vector autoregression, I compare the effects of equity price shocks to those … fluctuations, equity prices, panel vector autoregression …

countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate …Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent … work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across …

volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … unit roots that is, unlike many previously suggested tests, robust to such volatility processes. The panel test is based on …This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the …

We study the impact of climate volatility on economic growth exploiting data on 133 countries between 1960 and 2005. We … show that the conditional (ex ante) volatility of annual temperatures increased steadily over time, rendering climate … temperatures, a +1oC increase in temperature volatility causes on average a 0.9 per cent decline in GDP growth and a 1.3 per cent …