Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
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DOI: 10.1016/j.jeconom.2020.04.038
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More about this item
Keywords
Local parameter; Processes moderately deviated from a unit root; Robust inference; Spurious regressions; t-Statistic;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
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