benchmarks. First, the benchmark models are estimated using panel methods with both fund and time effects. Second, the non …-normality of individual mutual fund returns is accounted for by using panel bootstrap methods. We also augment the standard …

for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and … considered are T ϵ {10, 20, 30, 40, 50, 60, 70, 80, 90, 100, 200, 500}. -- panel cointegration test ; correction factor …

-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross …

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … cointegrating ranks varying from zero to two for fourteen different panel dimensions. The usual specifications of deterministic … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …

panel data models are growing exponentially in number. However, for researchers it is hard to make a reasoned choice between …

class of panel data models including those with interactive fixed effects. The proposed method allows for the error … approaches for panel data models. The new findings fill some gaps left by the bulk literature of the block bootstrap based panel …

This article applies the panel stationarity test with a break proposed by Hadri and Rao (2008) to examine whether 14 … break models are allowed for in the panel. Our results suggest, overwhelmingly, that if we account for a structural break …