A Residual-Based Cointegration test with a Fourier Approximation

Yilanci, Veli (2019): A Residual-Based Cointegration test with a Fourier Approximation.

Abstract

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: cointegration test; Fourier function; structural breaks.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General

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