This paper presents results concerning the performance of both single equation and system panel cointegration tests and … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration, the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …

The panel cointegration test of Larsson et al (1998) test for the maximum number of cointegrating relations in a …

This paper presents a general likelihood-based framework for inference in panel-VAR models with cointegrating …

data unit root and stationarity tests to characterize our data. Then, we test cointegration between our variables with Kao …[16] panel data cointegration tests. As we accept cointegration, we compare different estimators (OLS, FMOLS, DOLS …

of moments (GMM) estimator can be severely downward biased in small samples. The weight matrix used in the calculation of … the efficient two-step GMM estimator is based on initial consistent parameter estimates. In this paper it is shown that … difference between the finite sample and the asymptotic variance of the two-step GMM estimator that utilises moment conditions …

of moments (GMM) estimator can be severely downward biased in small samples. The weight matrix used in the calculation of … the efficient two-step GMM estimator is based on initial consistent parameter estimates. In this paper it is shown that … difference between the finite sample and the usual asymptotic variance of the two-step GMM estimator, when the moment conditions …