Local Power of Andrews and Ploberger Tests Against Nearly Integrated, Nearly White Noise Process
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References listed on IDEAS
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- Godfrey, Leslie G, 1978. "Testing for Higher Order Serial Correlation in Regression Equations When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1303-1310, November.
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More about this item
KeywordsARMA(1; 1); local power; Nearly integrated; nearly white noise process; stock returns;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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