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

Danny Quah

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: 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.

Keywords: random field; time series; panel data; unit root (search for similar items in EconPapers)
Date: 1993
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cep:stiecm:270

Access Statistics for this paper

More papers in STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Bibliographic data for series maintained by ().