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.

This paper proposes a residual-based unit root test in the presence of smooth structural changes approximated by a Fourier function. While Fourier Augmented Dickey Fuller test that introduced by Enders and Lee (2012a) allows smooth changes of the unknown form, the Residual Augmented Least...

This study aims to determine the factors that affect the forest products footprint (FPF) in Brazil during the period 1965–2018 by proposing a new cointegration test which augments the Engle-Granger cointegration test with a Fourier function (Fourier Engle-Granger) and allows multiple...

This study investigates the stock price-economic activity nexus in 12 member countries of the Organization for Economic Cooperation and Development (OECD) by employing monthly data over the period 1981:1-2018:3. For this purpose, the study uses Granger causality in the frequency domain in the...