In this paper, we propose an estimation and testing framework for parameter instability in cointegrated panel regressions with common and idiosyncratic trends. We develop tests for structural change for the slope parameters under the null hypothesis of no structural break against the alternative...

This paper studies estimation of panel co-integration models with cross-sectional dependence Generated by unobserved global stochastic trends. The standard least squares estimator is, in General, inconsistent owing to the spuriousness induced by the unobservable i(1) trends. We propose two...

This paper establishes that regressors in the models with censored dependent variables need not be bounded for the standard asymptotic results to apply. Thus regressors which grow monotonically with the observation index may be acceptable. It also purports to provide an upper bound on the rate...

This paper proposes a robust estimation procedure, the bounded influence estimate (BIE), that is robust against departure from the conditional normality of the autoregressive conditional heteroskedasticity (ARCH) models to describe the behavior of exchange rates. First, the BIE identifies the...

In this paper, we apply the asymptotic theory of panel cointegration developed by Kao and Chiang (1997) to Coe and Helpman's (1995) international R&D spillovers regression. The OLS with bias-correction, the fully-modified (FM) and the dynamic OLS (DOLS) estimations produce different predictions...

This paper considers models with latent/discrete endogenous regressors and presents a simulation-based two-step (STS) estimator. The endogeneity is corrected by adopting a simulation-based control function approach. The first step consists of simulating of the residuals of the reduced-form...

This paper considers models with latent/discrete endogenous regressors and presents a simulation-based two-step (STS) estimator. The endogeneity is corrected by adopting a simulation-based control function approach. The first step consists of simulating of the residuals of the reduced-form...

Most of the existing literature on panel data cointegration assumes cross-sectional independence, an assumption that is difficult to satisfy. This paper studies panel cointegration under cross-sectional dependence, which is characterized by a factor structure. We derive the limiting distribution...

Popular and policy discussions have focused extensively “entrepreneurship.” While entrepreneurship is often viewed from the perspective the individuals' benefits - an increase in standard of living, flexibility in hours, and so forth - much of the policy interest derives from the presumption...