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Low-frequency robust cointegration testing
Ulrich K. Müller
,
Mark W. Watson
Economics
Bendheim Center for Finance
Center for Statistics & Machine Learning
Princeton School of Public and International Affairs
Research output
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Article
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peer-review
14
Scopus citations
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Keyphrases
Common Stochastic Trends
100%
Cointegrating Vector
100%
Cointegration Testing
100%
Frequency Test
50%
Data Persistence
50%
Correct Restriction
50%
Stochastic Trend
50%
Trend Model
50%
Size Distortion
50%