This paper studies the effects of common shocks on the OLS estimators of the slopes' parameters in linear panel data …

Standard panel unit root tests (PURTs) are not robust to breaks in innovation variances. Consequently, recent papers …

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 considers a first-order autoregressive panel data model with individual-specific effects and a heterogeneous …

We consider large n, T panel data models with fixed effects, persistent common factors allowing for cross …

Standard panel unit root tests (PURTs) are not robust to breaks in innovation variances. Consequently, recent papers …

This paper proposes a nonparametric test for common trends in semiparametric panel data models with fixed effects based …

error components of panel data models that contain random effects. This general specification encompasses several more … specific space-time structures that have been used recently in the panel data literature. Markov Chain Monte Carlo methods are …