This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The … combined to develop the panel statistics. A simulation study shows that the tests have reasonable size and power properties in …

weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first … letting the time dimension of the panel go to infinity and then letting its cross-sectional dimension go to infinity. The …

macroeconometric panel data with cross-sectional dependence. The testing procedure for a common rank among the panel units is based on …

attention to dependence among cross-sectional units, be it time-dependent or not. To obtain a panel cointegration test robust to … independent even in the presence of correlation or cointegration across units, leading to a panel test statistic robust to cross …While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional …