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IGARCH Effect on Autoregressive Lag Length Selection and Causality Tests

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Author Info
Hecq, Alain

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Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 3 (1996)
Issue (Month): 5 (May)
Pages: 317-23
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Handle: RePEc:taf:apeclt:v:3:y:1996:i:5:p:317-23

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  1. Michel Beine & Alain Hecq, 1999. "Inference in Codependence : Some Monte Carlo Results and Applications," Annales d'Economie et de Statistique, ADRES, issue 54, pages 04, Avril-Jui. [Downloadable!]
  2. Jérôme Henry & Jens Weidmann, 1995. "Asymmetry in the EMS revisited: Evidence from the Causality Analysis of Daily Eurorates," Annales d'Economie et de Statistique, ADRES, issue 40, pages 08, Octobre-D. [Downloadable!]
    Other versions:
  3. Stavros Degiannakis & Evdokia Xekalaki, 2007. "Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models," Applied Financial Economics, Taylor and Francis Journals, vol. 17(2), pages 149-171, January. [Downloadable!] (restricted)
  4. Jerome Henry & Jens Weidmann, 2005. "The French-German Interest Rate Differential Since German," International Finance 0503009, EconWPA. [Downloadable!]
  5. R. Scott Hacker & Abdulnasser Hatemi-J, 2006. "Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application," Applied Economics, Taylor and Francis Journals, vol. 38(13), pages 1489-1500, July. [Downloadable!] (restricted)
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