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

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

This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are …

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 …

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the …

whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate … dimension tends to infinity. -- Cointegration ; trace statistic ; asymptotic moments ; uniform integrability …

This paper introduces tests for cointegration breakdown that may occur over a relatively short time period, such as at …

This paper proposes simple tests of error cross section dependence which are applicable to a variety of panel data … based on average of pair-wise correlation coefficients of the OLS residuals from the individual regressions in the panel …, and as predicted by the theory, quite robust to the presence of unit roots and structural breaks. The use of the CD test …

This paper considers testing the hypothesis that errors in a panel data model are weakly Cross-sectionally dependent … panel contains lagged values of the dependent variables, so long as there are no major asymmetries in the error distribution …. -- exponent of cross-sectional dependence ; diagnostic tests ; panel data models ; dynamic heterogenous panels …