that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel … data and seemingly unrelated regression equation systems because it allows the incorporation of cross-sectional correlation … together with heteroskedasticity and serial correlation. Unfortunately, the associated, asymptotic standard error estimates are …

Recession, the introduction of cutting-edge econometric methods, and a renewed interest about the sustainability of fiscal …. We find evidence of strong cross-sectional dependence in the panel, and clear support to a valid cointegration …

In this paper, we propose a robust approach against heteroskedasticity, error serial correlation and slope … heterogeneity for large linear panel data models. First, we establish the asymptotic validity of the Wald test based on the widely … used panel heteroskedasticity and autocorrelation consistent (HAC) variance estimator of the pooled estimator under random …