Exploiting cross section variation for unit root inference in dynamic data

Quah, Danny (1993) Exploiting cross section variation for unit root inference in dynamic data. Financial Markets Group Discussion Papers (171). Financial Markets Group, The London School of Economics and Political Science, London, UK.

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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.

Item Type:	Monograph (Discussion Paper)
Official URL:	https://www.fmg.ac.uk/
Additional Information:	© 1993 The Author
Divisions:	Economics
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance
JEL classification:	C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C21 - Cross-Sectional Models; Spatial Models; Treatment Effect Models C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C22 - Time-Series Models C - Mathematical and Quantitative Methods > C2 - Econometric Methods: Single Equation Models; Single Variables > C23 - Models with Panel Data
Date Deposited:	17 May 2023 10:15
Last Modified:	11 Dec 2024 19:48
URI:	http://eprints.lse.ac.uk/id/eprint/119182

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