Unit Root and Cointegration Tests
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چکیده
منابع مشابه
Spurious rejection by cointegration tests incorporating structural change in the cointegrating relationship
In recent research, Leybourne and Newbold (2003) have shown commonly employed tests of cointegration to exhibit spurious rejection when applied to independent unit root processes subject to breaks in either level or trend. In the present paper, this research is extended to consider the finite-sample properties of cointegration tests which explicitly incorporate structural change. It is shown th...
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