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
Date Written: 1996
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
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