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On the power of the KPSS test of stationarity against fractionally-integrated alternatives

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Lee, Dongin
Schmidt, Peter

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3VW1TT8-C/2/21c9a54e9d26f5e12041160e85149b37
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 73 (1996)
Issue (Month): 1 (July)
Pages: 285-302
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Handle: RePEc:eee:econom:v:73:y:1996:i:1:p:285-302

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  11. Sibbertsen, Philipp & Krämer, Walter, 2005. "The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-318, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
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  16. John Barkoulas & Christopher F. Baum, 1997. "Long Memory and Forecasting in Euroyen Deposit Rates," Boston College Working Papers in Economics 361, Boston College Department of Economics. [Downloadable!]
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