Using the marginal likelihood of the residual, we propose new score type unit root tests for heterogeneous panels. Our tests are more powerful than the t-bar test of Im et al. (2003) for panels with many cross-sectional units and short time spans.

We propose new tests for cointegration based on signs of the residuals of the conventional t-test. Our tests have the limiting normal distribution under the null hypothesis and are robust to heavy tailed disturbances. A Monte-Carlo simulation shows the new tests have a stable size property and...

This paper provides a practical simulation-based Bayesian analysis of parameter-driven models for time series Poisson data with the AR(1) latent process. The posterior distribution is simulated by a Gibbs sampling algorithm. Full conditional posterior distributions of unknown variables in the...