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Publication Year:
2004
Journals:
Journal of Applied Econometrics
Allan W. Gregory
;
Alfred A. Haug
;
Nicoletta Lomuto
Mixed signals among tests for cointegration (replication data)
This paper illustrates that, under the null hypothesis of no cointegration, the correlation of p-values from a single-equation residual-based test (i.e., ADF or ) with a...
DOI:10.15456/jae.2022314.1316340166
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