volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … unit roots that is, unlike many previously suggested tests, robust to such volatility processes. The panel test is based on … Tests for Models with Non-Stationary Volatility"]. The panel test is robust to general patterns of cross …

estimation of the different models, respectively. We find that overall the large Bayesian VAR provides the most precise forecasts … variable to be forecast. …