Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power
Year of publication: |
1997-05-01
|
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Authors: | Ng, Serena ; Perron, Pierre |
Institutions: | Department of Economics, Boston College |
Subject: | unit root test | truncation lag | GLS detrending | information criteria |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Boston College Working Papers in Economics Number 369 43 pages |
Classification: | C2 - Econometric Methods: Single Equation Models ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C5 - Econometric Modeling |
Source: |
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