and developing countries grouped in panels by similar characteristics. Panel long-run causality is assessed with a …

We show how the use of panel data methods such as those proposed in single equations by Kao (1999) and Pedroni (1999 … literature assumes that such relations, that tie the units of the panel together, are not present. Using empirical examples from … a panel of OECD countries we show that this assumption is very likely to be violated. Simulations of the properties of …

The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009 … simulations show that this new estimation technique outperforms other possible transformations by having a lower bias and RMSE as … replaced by a data-driven statistical decision. -- Dynamic Panel Data ; Generalised Method of Moments ; Instrument …

In this paper we propose a simple extension to the panel case of the covariate-augmented Dickey Fuller (CADF) test for … with respect to other popular panel approaches. A procedure to compute the asymptotic p-values of Hansen’s CADF test is … hypothesis and the presence of a unit root in international industrial production indices. -- unit root ; panel data …

This paper evaluates bootstrap inference methods for quantile regression panel data models. We propose to construct …

This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a … the maximum number of factors, in contrast to other panel unit root tests based on principal components that require in … addition the estimation of the number of factors as well as the factors themselves. Small sample properties of the proposed …

This study uses Monte Carlo experiments to produce new evidence on the performance of a wide range of panel data … previous study on the subject (Reed and Ye, Which panel data estimator should I use? Applied Economics, 2011), and modifies … estimator for efficiency, it uses the size of the panel dataset (N and T) to guide the researcher to the best estimator. When it …

This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of … that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel …-section data 1995) developed an approach that uses the Prais-Winsten estimator together with "panel corrected standard errors …

has been a workhorse for the analysis of panel data and seemingly unrelated regression equation systems because it allows … Katz (1995) developed an approach that uses the Prais-Winsten estimator together with “panel corrected standard errors … demonstrate its effectiveness using an experimental approach that creates artificial panel datasets modelled after actual panel …