L. Vanessa Smith

TL;DR: In this article, a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model is presented.

TL;DR: In this article, a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model is presented.

TL;DR: In this paper, the authors show that more powerful variants of commonly applied unit root tests are readily available and that power gains persist when the modifications are applied to bootstrap procedures that may be employed when cross-correlation of a rather general sort among individual panel members is suspected.

TL;DR: In this article, the authors focus on testing long run macroeconomic relations for interest rates, equity, prices and exchange rates within a model of the global economy, and use the global vector autoregressive (GVAR) model developed in Dees, di Mauro, Pesaran and Smith to test for long run restrictions in each country/region conditioning on the rest of the world.

TL;DR: In this paper, the authors extend the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure, which exploits information regarding the unobserved factors that are shared by other time series in addition to the variable under consideration.