This work concerns the theory of limiting experiments and its use in econometrics. In Chapter 2, we consider jump-diffusion models and we compare, by means of the limiting experiment, the statistical information contained in continuous-time observations with that contained in discrete-time...

In this dissertation new test statistics for the (panel) unit root hypothesis are presented. Besides a novel approach to testing the unit root hypothesis in univariate time series, the major part of this thesis is dedicated to unit root testing in cross sectionally dependent panels with...