In spite of the increased use of factor-augmented regressions in recent years, little is knownregarding the relative merits of the two main approaches to estimation and inference, namely, thecross-sectional average and principal components estimators. As a response to this, the currentpaper...

This paper illustrates analytically the effects of cross-unit cointegration using as an example the conventional pooled least squares estimate in the spurious panel regression case. The results suggest that the usual result of asymptotic normality depends critically on the absence of cross-unit...

This paper proposes new error correction based cointegration tests for panel data. The limiting distributions of the tests are derived and critical values are provided. Our simulation results suggest that the tests have good small-sample properties with small size distortions and high power...

This paper considers a cointegrated panel data model with common factors. Starting from the triangular representation of the model as used by Bai et al. (2008) a Granger type representation theorem is derived. The conditional error correction representation is obtained, which is used as a basis...

One of the single most cited studies within the field of nonstationary panel data analysis is that of LLC (Levin, Lin and Chu, 2002. Unit Root\linebreak Tests in Panel Data: Asymptotic and Finite Sample Properties. \emph{Journal of Econometrics} 98, 1-24), in which the authors propose a test for...

Many empirical studies of the economics of crime focus solely on the determinants thereof, and do not consider the dynamic and cross-sectional properties of their data. As a response to this, the current paper offers an in-depth analysis of this issue using data covering 21 Swedish counties from...

In spite of the increased use of factor-augmented regressions in recent years, little is knownregarding the relative merits of the two main approaches to estimation and inference, namely, thecross-sectional average and principal components estimators. As a response to this, the currentpaper...

Many empirical studies of the economics of crime focus solely on the determinants thereof, and do not consider the dynamic and cross-sectional properties of their data. As a response to this, the current paper offers an in-depth analysis of this issue using data covering 21 Swedish counties from...

In this paper we enrich the Brabander (1981) and Brander and Krugman (1983) model of reciprocal entry by placing it i a setting of two-sided asymetric information. Following the limit pricing methodology of Milgrom and Roberts (1982), we show that the limit price is affected by a firm''s desire...

We study experimentally how players learn to make decisions if they face many different (normal-form) games. Games are generated randomly from a uniform distribution in each of 100 rounds. We find that agents do extrapolate between games but learn to play strategically equivalent games in the...