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

DOI10.1016/0167-7152(95)00203-0zbMath0903.62017OpenAlexW1992003978MaRDI QIDQ1129465

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

Wiener processlimiting distributioncross sectiontime-seriesunit-root test statistics

Mathematics Subject Classification ID

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

Related Items (1)

Testing for unit roots in seasonally adjusted data

Cites Work

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• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Time Series Regression with a Unit Root
• Testing for Unit Roots in Seasonal Time Series

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