standard factor decomposition of a panel of forecasts, we show that the uncertainty of a typical forecaster can be expressed as …

theoretical causal chain. In this paper, I build a set of Panel SVAR models to check if inequality and capital share in the …

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models … for stationary panel regressions with multifactor error structure. This paper extends this work and examines the important …

This paper presents a new approach to estimation and inference in panel data models with a multifactor error structure …

This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random … models, and the more recent developments in the area of cross-sectional dependence in panel data models …

This paper presents a new approach to estimation and inference in panel data models with unobserved common factors …

(DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all …

This paper proposes two new panel unit root tests based on Zaykin et al. (2002)’s truncated product method. The first … cross-section dependence in the panel units. Monte Carlo simulation shows that both tests have reasonably good size and are … powerful in cases of some very large p-values. The proposed tests are applied to a panel of real GDP and inflation density …

This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are …