Likelihood-based panel cointegration methdology and its application in macroeconomics and financial market analysis

In recent years, the panel cointegration methodology has proven to be an efficient method to analyze long-run relationships between nonstationary economic variables. The efficiency of panel cointegration methodology against the conventional cointegration methodology is based on the idea to increase the amount of available information about the variables by considering more than one cross-section (for example, countries, regions, towns).
This project focuses on theoretical developments in the panel cointegration methodology. In view of this new panel cointegration tests will be developed that take possible dependencies between the various cross-sections and the presence of structural breaks (eg reunification, oil crisis) into account and include these in the analysis.
With the help of the panel cointegration methodology long-term relationships between interest rates, house prices and macroeconomic variables, such as before and after the current financial crisis will be analyzed.