In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the...

We develop a non-dynamic panel smooth transition regression model with fixed individual effects. The model is useful for describing heterogenous panels, with regression coefficients that vary across individuals and over time. Heterogeneity is allowed for by assuming that these coefficients are...

This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when there are structural breaks in the innovation...

This paper examines current practice with respect to serial correlation in studies that rely on regression analysis of panel datasets. It first examines how frequently various techniques for dealing with serial correlation are used. Next, it runs a horse race using Monte Carlo simulation to...

In this paper, nominal interest rate linkages between 11 OECD countries are examined. As required for the uncovered interest parity (UIP) to hold empirically, the differentials between the interest rates of Germany (or the US) and the other countries should be stationary. Monthly short-term,...

This paper develops a method for testing for the presence of a single structural break in panel data models with unobserved heterogeneity represented by a factor error structure. The common factor approach is an appealing way to capture the effect of unobserved variables, such as skills and...

The paper proposes a new test of endogenous vs. exogenous growth theories based on the Granger-causality methodology and applies it to a panel of 20 OECD countries. The test yields divergent evidence with respect to physical and human capital. For physical capital, the test results favor...