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Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data

This paper considers unit root regressions in data having simultaneously extensive cross section and time-eries variation. The standard least squares estimators in such data structures turn out to have an asymptotic distribution that is neither Dickey-Fuller, nor normal and asymptotically unbiased. Instead, the estimator turns out to be consistent and asymptotically normal, but has a nonvanishing bias in its asymptotic distribution.
Year of publication:
1993-10
Authors: Quah, Danny
Institutions: Financial Markets Group
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
The price is £15 for hardcopies
Source:
Persistent link: https://www.econbiz.de/10005112911
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