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. Using both homogeneous and heterogeneous panel cointegration techniques, I find that the effect of foreign aid on FDI …

countries over five decades, from 1960 to 2010. Using panel time-series techniques, it is shown that international trade in …

cointegrating relationship to a spurious regression. The cointegration monitoring procedure is based on residuals from modified …

-distributional dynamics. Panel unit root tests designed for cross-sectional dependent panels are applied to investigate the hypothesis of …