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Consistent order selection with strongly dependent data and its application to efficient estimation

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Author Info
Hidalgo, Javier
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 110 (2002)
Issue (Month): 2 (October)
Pages: 213-239
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Handle: RePEc:eee:econom:v:110:y:2002:i:2:p:213-239

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Geweke, John & Meese, Richard, 1981. "Estimating regression models of finite but unknown order," Journal of Econometrics, Elsevier, vol. 16(1), pages 162-162, May. [Downloadable!] (restricted)
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  2. P?tscher, B.M., 1991. "Effects of Model Selection on Inference," Econometric Theory, Cambridge University Press, vol. 7(02), pages 163-185, June. [Downloadable!]
  3. Javier Hidalgo, 2000. "Nonparametric Test for Causality with Long-Range Dependence," Econometrica, Econometric Society, vol. 68(6), pages 1465-1490, November.
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