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The finite-sample performance of robust unit root tests
Carstensen, Kai, (2001)
A simple approach to robust inference in a cointegrating system
Wright, Jonathan H., (1999)
Robust stationarity tests in seasonal time series processes
Taylor, Robert, (2003)
Estimation of a multivariate cointegrated time series model with conditionally heteroskedastic disturbances
Carstensen, Kai, (1999)
Nonstationary term premia and cointegration of the term structure
Carstensen, Kai, (2003)