What results can we expect from rolling trace tests? A discussion based on the issue of stock market integration
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More about this item
Keywords
rolling cointegration; rolling trace test; rolling unit root test; lag selection; window selection; stock market integration;All these keywords.
JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
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