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Cointegration analysis in the presence of outliers

Nielsen, Heino Bohn

Cointegration analysis in the presence of outliers J5709 2004 - 2004 - 249-271 V. 07 Issue. 1

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Cointegrated VAR;Innovational outlier;Additive outlier;Dummy variables;Monte Carlo;

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