Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data (Now published in Economics Letters 44 (1), 1994, pp.9-19.)

This paper considers unit root regressions in data having simultaneously extensive cross-section and time-series variation. The standard least-squares estimators in such data structures turn out to have an asymptotic distribution that is neither Op(T-1) Dickey-Fuller, nor Op(N-?) normal and asymptotically unbiased. Instead, the estimator turns out to be consistent and asymptotically normal, but has a non-vanishing bias in its asymptotic distribution.

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Year of publication:	1993
Authors:	Quah, Danny
Institutions:	Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Subject:	random field \| time series \| panel data \| unit root

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Series:	STICERD - Econometrics Paper Series.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010720256