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Testing for unit roots : 2
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ECONIS (ZBW)
54
RePEc
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51
The danger of extrapolating asymptotic local power
Nelson, Forrest D.
- In:
Econometrica : journal of the Econometric Society, an …
58
(
1990
)
4
,
pp. 977-981
Persistent link: https://www.econbiz.de/10001091329
Saved in:
52
The exact moments of the least-squares estimator for the autoregressive model : corrections and extensions
Nankervis, John C.
- In:
Journal of econometrics
3
(
1988
),
pp. 381-388
Persistent link: https://www.econbiz.de/10001040761
Saved in:
53
Conflict among testing procedures in a linear regressionmodel witth autoregressive disturbances
Savin, N. E.
-
1975
Persistent link: https://www.econbiz.de/10003529789
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54
Hedge fund replication : a model combination approach
O'Doherty, Michael
;
Savin, N. Eugene
;
Tiwari, Ashish
- In:
Review of finance : journal of the European Finance …
21
(
2017
)
4
,
pp. 1767-1804
Persistent link: https://www.econbiz.de/10011804356
Saved in:
55
Explaining business cycles: A multiple-shock approach
Ingram, Beth Fisher
;
Kocherlakota, Narayana R.
;
Savin, N. E.
- In:
Journal of Monetary Economics
34
(
1994
)
3
,
pp. 415-428
Persistent link: https://www.econbiz.de/10005082249
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56
The disappearing size effect
Horowitz, Joel L.
;
Loughran, Tim
;
Savin, N. E.
- In:
Research in Economics
54
(
2000
)
1
,
pp. 83-100
Persistent link: https://www.econbiz.de/10005351813
Saved in:
57
Is the minimum chi-square estimator the winner in logit regression?
Hughes, Gordon A.
;
Savin, N. E.
- In:
Journal of Econometrics
61
(
1994
)
2
,
pp. 345-366
Persistent link: https://www.econbiz.de/10005285339
Saved in:
58
Empirically relevant critical values for hypothesis tests: A bootstrap approach
Horowitz, Joel L.
;
Savin, N. E.
- In:
Journal of Econometrics
95
(
2000
)
2
,
pp. 375-389
Persistent link: https://www.econbiz.de/10005285477
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59
Corrigendum
Nakervis, J. C.
;
Savin, N. E.
- In:
Journal of Econometrics
34
(
1987
)
3
,
pp. 391-391
Persistent link: https://www.econbiz.de/10005285520
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60
The performance of heteroskedasticity and autocorrelation robust tests: a Monte Carlo study with an application to the three-factor Fama-French asset-pricing model
Ray, Surajit
;
Savin, N. E.
- In:
Journal of Applied Econometrics
23
(
2008
)
1
,
pp. 91-109
This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and Vogelsang in 2005 and by Phillips, Sun and Jin in 2003 and 2006. The illustrations use the 1993 Fama-French...
Persistent link: https://www.econbiz.de/10005764746
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