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Exploiting cross section variation for unit root inference in dynamic data

By Danny Quah

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

Topics: HB Economic Theory
Publisher: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science
Year: 1993
OAI identifier: oai:eprints.lse.ac.uk:2172
Provided by: LSE Research Online
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