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The limiting distributions of unit-root tests for data with cross-sectional and time-series dimensions

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  • Wirjanto, T. S.

Abstract

The limiting distributions of two unit-root test statistics are derived and discussed for data that have both cross-sectional and time-series dimensions.

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File URL: http://www.sciencedirect.com/science/article/B6V1D-3VVCJGV-15/2/7af1026bfba9216460d79d106d05e0ea
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Bibliographic Info

Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 30 (1996)
Issue (Month): 1 (September)
Pages: 73-77

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Handle: RePEc:eee:stapro:v:30:y:1996:i:1:p:73-77

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Related research

Keywords: Unit root Cross section Time series Limiting distribution Wiener process;

References

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  1. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 277-301, March.
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Cited by:
  1. J. Colin H. Jones & John A. Schofield & David E.A. Giles, 1999. "Our Fans in the North: The Demand for British Rugby League," Econometrics Working Papers 9902, Department of Economics, University of Victoria.

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