In [4] Chan and Tran give the limit theory for the least-squares coefficient in a random walk with i.i.d. (identically and independently distributed) errors that are in the domain of attraction of a stable law. This paper discusses their results and provides generalizations to the case of <italic>I</italic>(1)...

This Paper Proposes Some New Tests for Detecting the Presence of a Unit Root in Quite General Time Series Modesl. Our Approach Is Nonparametric with Respect to Nuisance Parameters and Thereby Allows for a Very Wide Class of Weakly Dependent and Possibly Heterogeneously Distributed Data. the...

Stock and Watson (1986) Tests the Hypothesis That Real Per Capita Gnp Has a Unit Root by Using a Test Statistic Due to Phillips (1985) Which Incorporates a Nonparametric Correction for the Serial Correlation Induced by System and Error Dynamics. the Version of This Test That Is Used by Stock and...

This paper overviews some recent developments in nonstationary panel data asymptotics, concentrating on the nonstationary panel case and gives a new result for models with individual effects. Underlying recent theory are asymptotics for multi-indexed processes in which both indexes may pass to...

Using generalized functions of random variables and generalized Taylor series expansions, we provide quick demonstrations of the asymptotic theory for the LAD estimator in a regression model setting. The approach is justified by the smoothing that is delivered in the limit by the asymptotics,...