Monte Carlo simulations are used to explore the small sample properties of a mean group and two pooled panel estimators of a regression coefficient when the regressor is I(1). We compare and contrast the effect of I(0) and I(1) errors and homogeneous and heterogeneous coefficients in a design...

The base currency effect in the PPP literature refers to the stylised fact that tests on real exchange rates denominated in German marks are more likely to support mean reversion than analogous tests on US dollar rates. Using a panel of 19 OECD currencies and monthly data, 1973-97, three panel...

The short-run dynamics of German mark and US dollar real exchange rates are investigated for a panel of 19 OECD economies in a vector error correction framework for the 1973-96 period. The novel persistence profiles approach of Pesaran and Shin ("Cointegration and Speed of Convergence to...

This paper assesses empirically two competing accounts of high unemployment, the structuralist and persistence theories. It identifies one structural break in UK and German unemployment around 1980 which is more severe in both absolute and relative terms than that for the US in 1973. This offers...

This paper uses threshold autoregressions to characterize asymmetries in adjustment dynamics and develops likelihood ratio tests to detect them. A robust bootstrap technique is proposed to circumvent the problem that the asymptotic distribution of the test statistics is non-standard. Monte Carlo...

Recently, the large T panel literature has emphasized unobserved, time-varying heterogeneity that may stem from omitted common variables or global shocks that affect each individual unit differently. These latent common factors induce cross-section dependence and may lead to inconsistent...

A country's intertemporal budget constraint implies current account stationarity or that its saving and investment rates should cointegrate. However, such behaviour may not pertain in finite sample spans where the current account could be subject to persistent shocks. Accordingly, this paper...

This paper analyses the contribution of various numerical approaches to making the estimation of threshold autoregressive time series more efficient. It relies on the computational advantages of QR factorizations and proposes Givens transformations to update these factors for sequential LS...

This paper assesses empirically two competing unemployment theories. It identifies one structural break in U.K. and German unemployment around 1980 that is more severe in both absolute and relative terms than that for the United States in 1973. This offers support for the structuralist theory. A...