combined to develop the panel statistics. A simulation study shows that the tests have reasonable size and power properties in …This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The …

macroeconometric panel data with cross-sectional dependence. The testing procedure for a common rank among the panel units is based on …

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the … cointegrating ranks varying from zero to two for fourteen different panel dimensions. The usual specifications of deterministic …

attention to dependence among cross-sectional units, be it time-dependent or not. To obtain a panel cointegration test robust to … independent even in the presence of correlation or cointegration across units, leading to a panel test statistic robust to cross …While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional …

weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first … simulation experiments. Finally, as an empirical illustration, we test weak exogeneity of disposable income and wealth in …

Present paper considers structural break in panel AR(1) model which allows instability in mean, variance and … existing panel data time series model considering break studied by Levin et al. (2002), Pesaran (2004), Bai (2010), Liu et al … simulation study is carried out to validate the derived theorems. An Empirical analysis on Real Exchange Rate of India and its …

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

maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-p, the …) are considered. The simulation results indicate that the panel-t and standardized LR-bar statistic have the best size and … power properties among the five panel cointegration test statistics evaluated. Finally, the Fisher Hypothesis is tested with …

compared to the cross-section dimension. -- Panel cointegration ; FM-OLS ; FM-SUR ; DOLS ; DSUR …

bootstrap test for panel cointegration robust to short- and long-run dependence across units. This test provides evidence of a …