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On Asymptotic Inference in Linear Cointegrated Time Series Systems

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References

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1998

On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots

255 cited

Cited by

2001A Survey of Recent Theoretical Results for Time Series Models with GARCH Errors34 cited
2013Low-frequency robust cointegration testing27 cited
1998Adaptive estimation of cointegrating regressions with ARMA errors26 cited
2004Optimal Inference in Regression Models with Nearly Integrated Regressors16 cited