The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
From MaRDI portal
Publication:291635
DOI10.1016/j.jeconom.2005.01.028zbMath1337.62253OpenAlexW3125417980MaRDI QIDQ291635
Valentina Corradi, Norman R. Swanson
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.sas.rutgers.edu/virtual/snde/wp/2003-22.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)
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