Covariance-based orthogonality tests for regressors with unknown persistence
Year of publication: |
2007-02
|
---|---|
Authors: | Maynard, Alex ; Shimotsu, Katsumi |
Institutions: | Economics Department, Queen's University |
Subject: | orthogonality test | covariance estimation | local-to-unity | unit roots | market efficiency | predictive regression | regression imbalance |
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Covariance-based orthogonality tests for regressors with unknown persistence
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