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The Limiting Distributions of Unit-Root Tests for Data with Cross-Sectional and Time-Series Dimensions

Statistics & Probability Letters 30 (1996) 73-77

Posted: 31 Mar 2013

See all articles by Tony S. Wirjanto

Tony S. Wirjanto

University of Waterloo - School of Accounting and Finance; University of Waterloo, Department of Statistics & Actuarial Science

Date Written: 1996

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.

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

Suggested Citation

Wirjanto, Tony S., The Limiting Distributions of Unit-Root Tests for Data with Cross-Sectional and Time-Series Dimensions (1996). Statistics & Probability Letters 30 (1996) 73-77, Available at SSRN: https://ssrn.com/abstract=2241888

Tony S. Wirjanto (Contact Author)

University of Waterloo - School of Accounting and Finance ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1
Canada
519-888-4567 x35210 (Phone)

HOME PAGE: http://https://uwaterloo.ca/statistics-and-actuarial-science/people-profiles/tony-wirjanto

University of Waterloo, Department of Statistics & Actuarial Science ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1
Canada
519-888-4567 x35210 (Phone)
519-746-1875 (Fax)

HOME PAGE: http://math.uwaterloo.ca/statistics-and-actuarial-science/people-profiles/tony-wirjanto

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