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  • Search: subject:"Multivariate Unit Root Test"
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Year of publication
Subject
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ARDL 2 Bootstrap approach 2 Bootstrap-Verfahren 2 Cointegration 2 Einheitswurzeltest 2 Kointegration 2 Lag model 2 Lag-Modell 2 Theorie 2 Theory 2 Time series analysis 2 Unit root test 2 Zeitreihenanalyse 2 Autocorrelation 1 Autokorrelation 1 Bootstrap 1 Model Mispecification 1 Monte Carlo simulation 1 Multivariate Analyse 1 Multivariate Unit Root Test 1 Multivariate analysis 1 Multivariate unit root test 1 Purchasing Power Parity 1 Real Exchange Rate 1 Size and Power Analysis 1 autoregressive distributed lag 1 bootstrap 1 cointegration 1 model misspecification 1 multivariate unit root test 1 size and power analysis 1 test power 1
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Online availability
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Undetermined 2 Free 1
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2 Undetermined 1
Author
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Goh, Kim-Leng 2 McNown, Robert F. 2 Sam, Chung Yan 2 Soo Khoon Goh 2 Sarno, Lucio 1 Taylor, Mark P 1
Institution
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C.E.P.R. Discussion Papers 1
Published in...
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CEPR Discussion Papers 1 Discussion papers in economics / Center for Economic Analysis, Department of Economics, University of Colorado at Boulder : Working paper 1 Journal for studies in economics and econometrics : SEE 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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A multivariate autoregressive distributed lag unit root test
McNown, Robert F.; Sam, Chung Yan; Soo Khoon Goh; Goh, … - 2023
Persistent link: https://www.econbiz.de/10014328846
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A multivariate autoregressive distributed lag unit root test
Sam, Chung Yan; McNown, Robert F.; Soo Khoon Goh; Goh, … - In: Journal for studies in economics and econometrics : SEE 49 (2025) 1, pp. 17-33
Persistent link: https://www.econbiz.de/10015417674
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The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period
Sarno, Lucio; Taylor, Mark P - C.E.P.R. Discussion Papers - 1997
Tests for long-run purchasing power parity (PPP) may lack power with sample periods corresponding to the span of the recent float, leading researchers to use more powerful multivariate unit root tests. We point out a potential problem with such tests: joint non-stationarity of real exchange...
Persistent link: https://www.econbiz.de/10005791733
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