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Original Articles

Spurious rejection by cointegration tests incorporating structural change in the cointegrating relationship

Pages 879-884 | Published online: 22 Aug 2006

References

References

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  • Leybourne , S , Mills , T and Newbold , P . 1998 . Spurious rejections by Dickey–Fuller tests in the presence of a break under the null . Journal of Econometrics , 87 : 191 – 203 .
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