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The spurious regression of fractionally integrated processes

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Author Info
Tsay, Wen-Jen
Chung, Ching-Fan

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 96 (2000)
Issue (Month): 1 (May)
Pages: 155-182
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Handle: RePEc:eee:econom:v:96:y:2000:i:1:p:155-182

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

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  3. Christopher F Baum & John Barkoulas, 2002. "Dynamics of Intra-EMS Interest Rate Linkages," Computing in Economics and Finance 2002 13, Society for Computational Economics. [Downloadable!]
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  5. John Barkoulas & Christopher F. Baum & Mustafa Caglayan, 1998. "Fractional Monetary Dynamics," Boston College Working Papers in Economics 321., Boston College Department of Economics. [Downloadable!]
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