Consistent co‐trending rank selection when both stochastic and non‐linear deterministic trends are present

DOI10.1111/J.1368-423X.2012.00392.XMaRDI QIDQ5093219zbMATH OpenOpenAlexFDO

Authors Zheng-Feng Guo, Mototsugu Shintani

Publication date 26 July 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2012.00392.x

zbMATH Keywords

cointegrating ranksmooth transition trend modeltrend breaksvon Neumann ratio

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(1)

• Johansen test with Fourier-type smooth nonlinear trends in cointegrating relations

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