Pitfalls in testing for long run relationships
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Publication:1298439
DOI10.1016/S0304-4076(97)00111-5zbMath1041.62525MaRDI QIDQ1298439
Publication date: 1998
Published in: Journal of Econometrics (Search for Journal in Brave)
cointegration; deterministic trends; explosive roots; singular covariance matrix; \(I(2)\); Engle-Granger test; fractional unit roots; Johansen test; stochastic roots
62P20: Applications of statistics to economics
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