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Unit and Fractional Roots at the Long Run and the Seasonal Frequencies in Macroeconomic Time Series

โœ Scribed by Luis A. Gil-Alana


Publisher
Springer US
Year
2005
Tongue
English
Weight
205 KB
Volume
11
Category
Article
ISSN
1083-0898

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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