English, Article, Journal or magazine article edition: Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data Danny Quah

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/45203
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data
Author
  • Danny Quah
Physical Description
  • preprint
Notes
  • This paper considers unit root regressions in data having simultaneously extensive cross section and time-eries variation. The standard least squares estimators in such data structures turn out to have an asymptotic distribution that is neither Dickey-Fuller, nor normal and asymptotically unbiased. Instead, the estimator turns out to be consistent and asymptotically normal, but has a nonvanishing bias in its asymptotic distribution.
  • RePEc:fmg:fmgdps:dp171
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment