Quah, Danny (1993) Exploiting cross section variation for unit root inference in dynamic data. Econometrics (EM/1993/270). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.
Full text not available from this repository.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.
| Item Type: | Monograph (Discussion Paper) |
|---|---|
| Official URL: | http://sticerd.lse.ac.uk |
| Additional Information: | © 1993 The Author |
| Divisions: | Centre for Economic Performance Economics |
| Subjects: | H Social Sciences > HB Economic Theory |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 13 Sep 2024 19:34 |
| URI: | http://eprints.lse.ac.uk/id/eprint/2172 |
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