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 …

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 …

The finite sample behaviour is analysed of particular least squares (LS) and method of moments (MM) estimators in panel …

We propose four different GMM estimators that allow almost consistent estimation of the structural parameters of panel …