The Estimation and Testing of the Cointegration Order Based on the Frequency Domain

Igor Viveiros Melo Souza, Valderio Anselmo Reisen, Glaura da Conceição Franco and Pascal Bondon

Journal of Business & Economic Statistics, 2018, vol. 36, issue 4, 695-704

Abstract: This article proposes a method to estimate the degree of cointegration in bivariate series and suggests a test statistic for testing noncointegration based on the determinant of the spectral density matrix for the frequencies close to zero. In the study, series are assumed to be I(d), 0

Date: 2018
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Citations: View citations in EconPapers (7)

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DOI: 10.1080/07350015.2016.1251442

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