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Explaining Long- and Short-Run Interactions in Time Series Data

✍ Scribed by Lucio Picci


Book ID
124714499
Publisher
American Statistical Association
Year
2001
Tongue
English
Weight
395 KB
Volume
19
Category
Article
ISSN
0735-0015

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Time series models are a common tool in both environmetrics and econometrics. Dynamic eects are accommodated by the inclusion of lagged variables. Tests of null hypotheses involving `long-run' eects are not invariant and, surprisingly, the most commonly used form involves a non-linear hypothesis whe