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.

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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.

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