We used panel data analysis to evaluate the relative purchasing power parity (PPP) hypothesis of the ten ASEAN member … countries between 1973 and 2015. We incorporated the cross-sectionally augmented panel unit root test as proposed by Pesaran (J … Appl Econ 22:265-312, 2007). For panel cointegration analysis, we employed the four error-correction-based Westerlund (Oxf …

reversion and assume that relative prices are unchanged. Direct forecasting or panel data techniques are better than the random …

-varying panel VAR framework in the spirit of Canova and Ciccarelli (2009). Based on a sample of 24 economies, our results show a …

unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we …

We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series …

from the curse of dimensionality. We apply the model to a panel of 90 daily realized volatilities pertaining to S&P100 from …

We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series …

, we extend the concept of supply shocks beyond the productivity shock towards labor supply shocks. Our analysis …