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

Statistics and Probability Letters

Volumn 30, Issue 1, 1996, Pages 73-77

  Wirjanto, T S ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

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

Indexed keywords

EID: 0030607070     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-7152(95)00203-0     Document Type: Article

References (5)

1. Billingsley, P. (1968), Convergence of Probability Measures (Wiley, New York).
2. Dickey, D.A., D.P. Hasza and W.A. Fuller (1979), Testing for unit roots in seasonal time series, Statist. Assoc. 79, 355-367.
3. Dickey, D.A. and W.A. Fuller (1979), Distribution of the estimators for autoregressive time series with a unit root, J. Amer. Statist. Assoc. 74, 427-431.
4. Fuller, W.A. (1976), Introduction to Statistical Time Series (Wiley, New York).
5. Phillips, P.C.B. (1987) Time series regression with a unit root, Econometrica 55, 227-301.