This paper proposes a test statistic for the null hypothesis of panel stationarity that allows for the presence of multiple structural breaks. Two different specifications are considered depending on the structural breaks affecting the individual effects and/or the time trend. The model is...

The sensitivity of business capital formation to its user cost plays a key role in the analysis of many economic issues. Although this elasticity has been the subject of an enormous number of studies, a consensus remains elusive. We develop an estimation strategy that exploits panel data in an...

I consider a panel vector autoregressive (panel VAR) model with cross sectional dependence of the model disturbances that can be characterized by a first order spatial autoregressive process. I derive asymptotic properties of a constrained maximum likelihood estimator that uses a consistent...