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My bibliography Save this paperDiagnostic testing for cointegration
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More about this item
Keywords
Fractional cointegration; Diagnostic testing; Specification testing; Cointegrating rank; Semiparametric estimation.;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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