This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the … volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … enjoyed by many industrialized countries, known as the "Great Moderation". It also proposes a new testing approach for panel …

countries our findings suggest the existence of a structural break. The panel results are also in favour of the RIRP …

. For these purposes, panel unit root tests are employed to improve power against univariate counterparts. Since cross … section correlation is a distinct feature of the underlying panel data, results are based on various second generation panel …

and developing countries grouped in panels by similar characteristics. Panel long-run causality is assessed with a …

This paper provides estimation and inference methods for conditional average treatment effects (CATE) characterized by … a high‐dimensional parameter in both homogeneous cross‐sectional and unit‐heterogeneous dynamic panel data settings. In … dependent time series and panel data. This method "leaves out the neighbors" when fitting nuisance components, and we …

rate stationarity for 25 countries. For robustness purpose, we have also used panel unit root tests without and with …