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Instrument choice and tests for a unit root

Authors
Journal
Economics Letters
0165-1765
Publisher
Elsevier
Publication Date
Volume
35
Issue
2
Identifiers
DOI: 10.1016/0165-1765(91)90164-g

Abstract

Abstract In this paper we report evidence from a small simulation on the impact of instrument choice on the finite sample distribution of an instrumental variables based test for a unit root in a time series proposed by Hall (1989a).

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