for the validity of the monetary exchange rate modelwithin a panel of vector error correction models for three …

unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we …

large panel of data comprising 40 years of monthly observations on 23 developed countries. Heterogeneity, complemented by …

In this paper we propose a simple extension to the panel case of the covariate-augmented Dickey Fuller (CADF) test for … with respect to other popular panel approaches. A procedure to compute the asymptotic p-values of Hansen’s CADF test is … hypothesis and the presence of a unit root in international industrial production indices. -- unit root ; panel data …

dynamic panel data models. In particular, in our model the long-run relationship between effective exchange rates and domestic …

of serial correlation in the context of panel probit regressions. This paper documents the magnitude of the problem …

We look at a panel of Latin American countries from 1970 and 2016 to enquire how exchange rate pass-through has changed … through, with a small influence of real shocks such as terms-of-trade changes; money growth is also associated to long …-run pass-through, while terms of trade shocks are more statistically significant. Results are consistent with the hypothesis …

The forward unbiasedness regression is revisited by varying the prediction horizons from 1 day to 1 year. The panel …