Syczewska, Ewa - Zakład Ekonometrii Stosowanej, Szkoła Główna … - 2011
The results of a Monte Carlo research for the Hansen Lc, MeanF and SupF stability tests for long-run relationships are reported. The tests are related to the Phillips-Hansen and Hansen semiparametric methods, which involve kernel density estimation of the long-run covariance matrix. We compare...