Data dependent rules for selection of the number of leads and lags in the dynamic OLS cointegrating regression

Econometric Theory

Volumn 24, Issue 5, 2008, Pages 1425-1441

  Kejriwal, Mohitosh ^a,c   Perron, Pierre ^b  

^a PURDUE UNIVERSITY   (United States)

^b BOSTON UNIVERSITY   (United States)

^c PURDUE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 49549092040     PISSN: 02664666     EISSN: 14694360     Source Type: Journal    
DOI: 10.1017/S0266466608080560     Document Type: Article

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