EXPLOITING CROSS-SECTION VARIATION FOR UNIT-ROOT INFERENCE IN DYNAMIC DATA

被引：189

作者：

QUAH, D

机构：

[1] Economics Department, London School of Economics, Houghton Street, London WC2A 2AE, UK, FMG

来源：

ECONOMICS LETTERS | 1994年 / 44卷 / 1-2期

关键词：

D O I：

10.1016/0165-1765(93)00302-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 O(p)(T-1) Dickey-Fuller, nor O(p)(N-1/2) 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.

引用

页码：9 / 19

页数：11

共 18 条

[1] LAWS OF LARGE NUMBERS FOR DEPENDENT NON-IDENTICALLY DISTRIBUTED RANDOM-VARIABLES [J].