A Residual-Based Cointegration test with a Fourier Approximation

Veli Yilanci

MPRA Paper from University Library of Munich, Germany

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.

Keywords: cointegration test; Fourier function; structural breaks. (search for similar items in EconPapers)
JEL-codes: C12 (search for similar items in EconPapers)
Date: 2019-07-31
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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https://mpra.ub.uni-muenchen.de/95395/1/MPRA_paper_95395.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/117146/2/LV.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:95395

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