Recently, considerable emphasis has been placed on the problems arising out of cross-sectional dependence in panel unit root tests. This paper adopts the factor based cross-sectional dependence paradigm of Bai and Ng (2004) but suggests alternative factor extraction methods. Some theoretical results for these methods are provided. Further, a detailed Monte Carlo study of these methods for multi...

We "spatialize" residual-based panel cointegration tests for nonstationary spatial panel data in terms of a spatial error correction model (SpECM). Local panel cointegration arises when the data are cointegrated within spatial units but not between them. Spatial panel cointegration arises when the data are cointegrated through spatial lags between spatial units but not within them. Global panel...

For spatial data with a suffi ciently long time dimension, the concept of global cointegration has been recently included in the econometrics research agenda. Global cointegration arises when non-stationary time series are cointegrated both within and between spatial units. In this paper, we analyze the role of globally cointegrated variable relationships using German regional data (NUTS 1 leve...

Using recently developed panel unit root and panel cointegration tests and the FullyModified OLS (FMOLS) methodology, this paper estimates the impact of remittances on the economic growth of selected upper and lower income Latin American & Caribbean countries. Despite a large flow of remittances to the region, there have been relatively few empirical studies assessing the impact of remittances ...

Kamu borçlarında meydana gelen artışlar, büyüme, bütçe açığı, enflasyon gibi pek çok ekonomik değişken üzerinde olumsuz etkilere yol açabilmektedir. Özellikle ortaya çıkan belirsizliklerle birlikte borçlanmanın çıkaracağı artan maliyet, faiz oranlarının yükselmesine açmaktadır. Öte yandan oranları yatırım oranlarını azaltarak büyüme azalmasına Bu nedenle kamu borcu, uzun dönem kanalıyla ülkeler...

This paper provides a review of linear panel data models with slope heterogeneity, introduces various types of random coe¢ cients models and suggests a common framework for dealing with them. It considers the fundamental issues of statistical inference of a random coe¢ cients formulation using both the sampling and Bayesian approaches. The paper also provides a review of heterogeneous dynamic p...

This paper studies the estimation of quantile regression panel duration models. We allow for the possibility of endogenous covariates and correlated individual effects in the quantile regression models. We propose a quantile regression approach for panel duration models under conditionally independent censoring. The procedure involves minimizing l1 convex objective functions and is motivated by...

Macro-prudential authorities need to assess medium-term downside risks the real economy, caused by severe financial shocks. Before activating policy measures, they also consider their short-term negative impact. This gives rise a risk management problem, an inter-temporal trade-off between expected growth and risk. Predictive distributions are estimated with structural quantile vector autoregre...

a r t i c l e i n f o JEL classification: C23 E44 Q43 Keywords: Crude oil shocks Stock market prices Panel data Asymmetric adjustment Granger causality This paper proposes a panel threshold cointegration approach to investigate the relationship between crude oil shocks and stock markets for the OECD and non-OECD panel from January 1995 to December 2009. Nonlinear cointegration is confirmed for ...