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

DOI10.1016/0167-7152(95)00203-0MaRDI QIDQ1129465zbMATH OpenOpenAlexFDO

Authors Tony S. Wirjanto

Publication date 16 August 1998

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(95)00203-0

zbMATH Keywords

cross sectionlimiting distributiontime-seriesunit-root test statisticsWiener process

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Testing for Unit Roots in Seasonal Time Series
• Time Series Regression with a Unit Root

Cited in

(3)

• The convergence of multivariate `unit root' distributions to their asymptotic limits. The case of money-income causality
• Testing for unit roots in seasonally adjusted data
• Lag optimisation and finite-sample size distortion of unit root tests

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