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~institution:"Department of Economics, University of Alberta"
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truncation lag
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unit root tests
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vector autoregressions
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Department of Economics, University of Alberta
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Covariate Unit Root Tests with Good Size and Power
Fossati, Sebastian
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Department of Economics, University of Alberta
-
2011
The selection of the
truncation
lag
for covariate unit root tests is analyzed using Monte Carlo simulation. It is shown …
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