The Exact Maximum Likelihood-Based Test for Fractional Cointegration: Critical Values, Power and Size

Author: Dubois Emmanuel   Lardic Sandrine   Mignon Valérie  

Publisher: Springer Publishing Company

ISSN: 0927-7099

Source: Computational Economics, Vol.24, Iss.3, 2004-10, pp. : 239-255

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Abstract