Exploiting cross section variation for unit root inference in dynamic data

Danny Quah

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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(N12) 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)
JEL-codes: C21 C22 C23 (search for similar items in EconPapers)
Pages: 19 pages
Date: 1993-10-01
References: Add references at CitEc
Citations:

Downloads: (external link)
http://eprints.lse.ac.uk/119182/ Open access version. (application/pdf)

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:ehl:lserod:119182

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager (lseresearchonline@lse.ac.uk).