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Standard autocorrelation corrections applied to cointegrating regressions can lead to erroneous first …-differencing. Such outcomes are shown to be possible under a range of environments, including cases with autocorrelation coefficients …
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autocorrelation function (QACF) and the quantile partial autocorrelation function (QPACF). This allows us to extend the classical Box …
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A new family of kernels is suggested for use in heteroskedasticity and autocorrelation consistent (HAC) and long run …
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