work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across … countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate …

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

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 …

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 …