This paper overviews some recent developments in panel data asymptotics, concentrating
on the nonstationary panel case and gives a new result for models with individual effects …

We empirically analyze the nature of returns to scale in active mutual fund management. We
find strong evidence of decreasing returns at the industry level. As the size of the active …

To test the hypothesis of a difference stationary time series against a trend stationary
alternative, Levin & Lin (1993) and Im, Pesaran & Shin (1997) suggest bias adjusted t …

This paper studies testing for a unit root for large n and T panels in which the cross-sectional
units are correlated. To model this cross-sectional correlation, we assume that the data are …

This paper studies estimation of panel cointegration models with cross-sectional
dependence generated by unobserved global stochastic trends. The standard least squares …

I test for stock return predictability in the largest and most comprehensive data set analyzed
so far, using four common forecasting variables: the dividend-price (DP) and earnings-price …

This paper considers the nature of returns to scale in active management following Pástor et
al.(2015) who fail to establish diseconomies of scale at the fund level. Using an enhanced …

Heteroskedasticity and autocorrelation consistent (HAC) estimation commonly involves the
use of prewhitening filters based on simple autoregressive models. In such applications …

Explicit asymptotic bias formulae are given for dynamic panel regression estimators as the
cross section sample size N→∞. The results extend earlier work by Nickell [1981. Biases in …

This paper considers the problem of conducting inference on the regression coefficient in a
bivariate regression model with a highly persistent regressor. Gaussian asymptotic power …