It is shown that the bias of estimated parameters in autoregressive models can increase as the sample size grows. This bias is also a nonmonotonic function of the largest autoregressive root, contrary to what asymptotic approximations had indicated so far in the literature. These unusual results...

A unified framework to derive the distribution of conventional statistics under a unit root is presented. It is based on formulae which can generate (analytically as well as numerically) the densities and distributions of statistics such as the t ratio, the normalized autocorrelation...

One of the most cited studies in recent years within the field of nonstationary panel data analysis is that of Bai and Ng (2004), in which the authors propose PANIC, a new framework for analyzing the nonstationarity of panels with idiosyncratic and common components. The problem is that the...

This paper proposes a new unit root test in the context of a random autoregressive coefficient panel data model, in which the null of a unit root corresponds to the joint restriction that the autoregressive coefficient has unit mean and zero variance. The asymptotic distribution of the test...

When testing for cointegration, the asymptotic inference typically in use can be plagued by size distortion due to an inadequate first order approximation. Hence, for practical purposes the inference can be completely misleading and result in false conclusions regarding the presence of long-run...

Asymptotic distributions of some test statistics in near-integrated AR processes are studied. Some exact formulas for the distribution functions are given as well as approximative results obtained by saddlepoint approximation techniques.

New multivariate panel cointegration methods are used to analyze nominal exchange rates and prices in the four major economic powers in Europe, France, Germany, Italy and Great Britain for the post- Bretton Woods period. We test for PPP and find that the theoretical PPP relationship does not...

Let (<italic>X</italic>₁) be a discrete multivariate Gaussian autoregressive process of order 1. The paper derives the exact finite-sample joint moment generating function (m.g.f.) of the three quadratic forms constituting the sufficient statistic of the process. The formula is then specialized to some cases of...