Distribution theory and inference for regulated integrated and fractionally integrated processes
Unit root tests typically suffer from low power, severe size distortions, and dependence on tuning parameters. All three are particularly pronounced in situations deemed most relevant to empirical researchers, namely small samples, correlated errors, and nonlinear transformations of data. An importa...
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| Format: | Others |
| Language: | en |
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McGill University
2013
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| Online Access: | http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=119351 |