Data Dependent Rules for Selection of the Number of Leads...

Data Dependent Rules for Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression

Mohitosh Kejriwal and Pierre Perron
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Volume:
24
Language:
english
Journal:
Econometric Theory
DOI:
10.2307/20142547
Date:
October, 2008
File:
PDF, 1.45 MB
english, 2008
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