Demetrescu, Matei; Hanck, Christoph; Tarcolea, Adina Ioana - 2012 - This version: November 10, 2011
for the Dickey-Fuller test by Chang (J of Econometrics 110, 261-292) to an error-correction testing framework. We show … that IV-based testing of the null of no error-correction in individual equations results in asymptotic standard normality …