Testing the long-run response in time se
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Wasif Rasheed; Michael R. Veall
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Article
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1998
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John Wiley and Sons
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English
β 132 KB
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