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Testing for unit roots with very high frequency spot exchange rate data

โœ Scribed by Charles A.E. Goodhart; Patrick C. McMahon; Yerima L. Ngama


Book ID
113248191
Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
759 KB
Volume
15
Category
Article
ISSN
0164-0704

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## Abstract Unit root tests, seeking mean or trend reversion, are frequently applied to panel data. We show that more powerful variants of commonly applied tests are readily available. Moreover, power gains persist when the modifications are applied to bootstrap procedures that may be employed when