In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic …

finding sufficient evidence for cointegration in a first step. The extent of oversizing the test for long-run asymmetry … depends inversely on the power of the primary cointegration test. Hence, tests for long-run asymmetry become invalid in cases … of small sample sizes or slow speed of adjustment. Further, we provide simulation evidence that tests for long …

that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel …-section data 1995) developed an approach that uses the Prais-Winsten estimator together with "panel corrected standard errors … demonstrate its effectiveness using an innovative experimental approach that creates artificial panel datasets modelled after …

has been a workhorse for the analysis of panel data and seemingly unrelated regression equation systems because it allows … Katz (1995) developed an approach that uses the Prais-Winsten estimator together with “panel corrected standard errors … demonstrate its effectiveness using an experimental approach that creates artificial panel datasets modelled after actual panel …

components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …This paper presents results concerning the performance of both single equation and system panel cointegration tests and … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the …

Panel datasets have been increasingly used in economics to analyse complex economic phenomena. One of the attractions … of panel datasets is the ability to use an extended dataset to obtain information about parameters of interest which are … assumed to have common values across panel units. However, the assumption of poolability has not been studied extensively …

An attractive feature of panel unit root tests is the ability to exploit coefficient homogeneity under the null …, under the alternative hypothesis of heterogeneous panel unit root tests of at least one series being stationary, the …

In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic … the bootstrap test procedures are derived and their small sample properties are studied. The simulation study also … considers the standard asymptotic test versions and the Johansen cointegration test for comparison. -- Bootstrap ; Systems …