Johansen‐type cointegration tests with a Fourier function

DOI10.1111/JTSA.12640OpenAlexW4206976258MaRDI QIDQ6134632FDOQ6134632

Junsoo Lee, Saban Nazlioglu, Author name not available (Why is that?), Yan Lu

Publication date: 22 August 2023

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12640

zbMATH Keywords

Fourier transformcointegration tests

Mathematics Subject Classification ID

Statistics (62-XX) Inference from stochastic processes (62Mxx)

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