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Lag optimisation and finite-sample size distortion of unit root tests

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  • Cook, Steven
  • Manning, Neil
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    File URL: http://www.sciencedirect.com/science/article/B6V84-4CDHJB4-3/2/47960000d38ebaceef08ef7b9a84c1cb
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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 84 (2004)
    Issue (Month): 2 (August)
    Pages: 267-274

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    Handle: RePEc:eee:ecolet:v:84:y:2004:i:2:p:267-274

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    Web page: http://www.elsevier.com/locate/ecolet

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    1. G. William Schwert, 1988. "Tests For Unit Roots: A Monte Carlo Investigation," NBER Technical Working Papers 0073, National Bureau of Economic Research, Inc.
    2. Cheung, Yin-Wong & Lai, Kon S, 1995. "Lag Order and Critical Values of the Augmented Dickey-Fuller Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 277-80, July.
    3. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
    4. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July.
    5. Cheung, Yin-Wong & Lai, Kon S, 1995. "Lag Order and Critical Values of a Modified Dickey-Fuller Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(3), pages 411-19, August.
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    Cited by:
    1. Baumöhl, Eduard & Lyócsa, Štefan, 2012. "Constructing weekly returns based on daily stock market data: A puzzle for empirical research?," MPRA Paper 43431, University Library of Munich, Germany.
    2. Joanna Olbrys & Elzbieta Majewska, 2014. "Implications of market frictions: serial correlations in indexes on the emerging stock markets in Central and Eastern Europe," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 1, pages 51-70.
    3. Gervais, Jean-Philippe & Khraief, Naceur, 2007. "AJAE Appendix: Is Exchange Rate Pass-Through in Pork Meat Export Prices Constrained by the Supply of Live Hogs?," American Journal of Agricultural Economics Appendices, Agricultural and Applied Economics Association, vol. 89(4), November.
    4. Lyócsa, Štefan & Baumöhl, Eduard, 2012. "Testing the covariance stationarity of CEE stocks," MPRA Paper 43432, University Library of Munich, Germany.

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