This paper provides a new methodology for the analysis of multiple long run relations in panel data models where the … cross section dimension, n, is large relative to the time series dimension, T. For panel data models with large n … approach is illustrated with an application to key financial variables using an unbalanced panel of US firms from merged CRSP …

This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time … dimension of the panel is finite, and the cross-sectional dimension is large. A Maximum Likelihood (ML) estimator based on a … derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that …

incentive driven productivity following deregulations. Our model puts to test a panel of Nepalese commercial banks which went …

with the underlyingtheory. Based on a panel version of the Engle and Granger (1987) two-stepprocedure we find that the … residuals of our pooled estimated modelare stationary. This indicates that on a pooled time series levelthere is cointegration …

common stochastic trends and common stochastic cycles. When modeling the dynamics of multiple time series for a panel of … investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …

We study the long-term and dynamic relationship between de jure and de facto judicial independence using a large panel …

We study the long-term and dynamic relationship between de jure and de facto judicial independence using a large panel …

, organized in a panel data structure. In this paper, we investigate the consequences of applying such methodologies when the data … are formed by integrated process of order 1. We find that without a cointegration relation (spurious case) the …. Whereas, for the case when at least one cointegration relation exists, we have a T-consistent estimator for the intervention …

panel data technique with 15 cross-sections for the first 15 Member States of the European Union, applying generalized error …