Long Memory Models and Macroeconomic Time Series
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Bibliographic InfoPaper provided by Michigan State - Econometrics and Economic Theory in its series Papers with number 9005.
Length: 21 pages
Date of creation: 1991
Date of revision:
Contact details of provider:
Postal: MICHIGAN STATE UNIVERSITY, DEPARTMENT OF ECONOMICS, EAST LANSING MICHIGAN 48824 U.S.A.
Web page: http://econ.msu.edu/
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econometrics ; consumption ; money ; exchange rate;
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- Gonzalo, Jesus & Lee, Tae-Hwy, 1998.
"Pitfalls in testing for long run relationships,"
Journal of Econometrics,
Elsevier, vol. 86(1), pages 129-154, June.
- Lee, T.H. & Gonzalo, J., 1995.
"On the Robustness of Cointegration Tests when Series Are Fractionally Integrated,"
The A. Gary Anderson Graduate School of Management
95-11, The A. Gary Anderson Graduate School of Management. University of California Riverside.
- Jesus Gonzalo & Tae-Hwy Lee, 2000. "On the robustness of cointegration tests when series are fractionally intergrated," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(7), pages 821-827.
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