Logo
Munich Personal RePEc Archive

A Residual-Based Cointegration test with a Fourier Approximation

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

Warning
There is a more recent version of this item available.
[thumbnail of MPRA_paper_95395.pdf] PDF
MPRA_paper_95395.pdf

Download (1MB)

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.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.