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The Chang-Kim-Park Model of Cointegrated Density-Valued Time Series Cannot Accommodate a Stochastic Trend

Brendan Beare ()

Econ Journal Watch, 2017, vol. 14, issue 2, 133–137

Abstract: In this comment on a 2016 article in the Journal of Econometrics by Yoosoon Chang, Chang Sik Kim, and Joon Y. Park I point out that the time series of densities which the authors purport to model as a nonstationary cointegrated process is in fact stationary under their assumptions, aside from a deterministic component.

Keywords: Nonstationarity; cointegration; functional time series. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:ejw:journl:v:14:y:2017:i:2:p:133-137