Johansen‐type cointegration tests with a Fourier function

DOI10.1111/JTSA.12640MaRDI QIDQ6134632zbMATH OpenOpenAlexFDO

Authors Junsoo Lee, Saban Nazlioglu, 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)

Cites work

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