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Comment on "HAR inference: recommendations for practice" by E. Lazarus, D.J. Lewis, J.H. Stock and M.W. Watson
Müller, Ulrich K., (2018)
Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis
Elliott, Graham, (2015)
Low-frequency robust cointegration testing
Müller, Ulrich K., (2013)