A Residual-Based Cointegration test with a Fourier Approximation

This paper proposes a residual-based cointegration test in the presence of smooth structural changes approximated by a Fourier function. The test offers a simple way to accommodate unknown number and form of structural breaks and have good size and power properties in the presence of breaks.

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Year of publication:	2019-07-31
Authors:	Yilanci, Veli

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Yilanci, Veli (2019): A Residual-Based Cointegration test with a Fourier Approximation.
Classification:	C12 - Hypothesis Testing
Source:	BASE

Persistent link: https://www.econbiz.de/10015264804