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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. Econometrics (EM/1993/270). Suntory and Toyota International Centres for Economics and Related Disciplines, 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(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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