Quah, Danny (1993) Exploiting cross section variation for unit root inference in dynamic data. Econometrics; EM/1993/270, EM/1993/270. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.Full text not available from this repository.
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.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 1993 the author|
|Library of Congress subject classification:||H Social Sciences > HB Economic Theory|
|Sets:||Collections > Economists Online
Research centres and groups > Centre for Economic Performance (CEP)
Departments > Economics
|Date Deposited:||27 Apr 2007|
Actions (login required)
|Record administration - authorised staff only|