used to design a panel cointegration test statistic accounting for cross-section dependence. The performance of the …

adaptive analytic tools, wavelets are useful for capturing serial correlation where the spectrum has peaks or kinks, as can … cycles, and other kinds of periodicity. This paper proposes a new class of wavelet-based tests for serial correlation of … correlation of unknown form. We propose and justify a data-driven finest scale, in an automatic manner, converges to zero under …

are formed by integrated process of order 1. We find that without a cointegration relation (spurious case) the …. Whereas, for the case when at least one cointegration relation exists, we have a T-consistent estimator for the intervention …

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

the bandwidth is a non-zero fraction of the sample size. Is the consequence benign? Test statistics are non-pivotal, and ….These fixed-b robust estimators considerably improve the size statistics, reduce bias, and RMSE, compared to other semi …

panel cointegration tests in the presence of cross-unit relations are then presented to demonstrate the serious cost of …

and corresponding GMM estimates in which spatial error correlation is ignored are small …