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Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data

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  • Quah, D.

Abstract

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.
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Suggested Citation

  • Quah, D., 1993. "Exploiting Cross Section Variation for Unit Root Inference in Dynamic Data," Papers 549, Stockholm - International Economic Studies.
  • Handle: RePEc:fth:stocin:549
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    econometrics;

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