Johansen‐type cointegration tests with a Fourier function-Reference-Cited by-同舟云学术

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Johansen‐type cointegration tests with a Fourier function

Published:2022-02-13 Issue:5 Volume:43 Page:828-852
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:Journal Time Series Analysis

Author:

Pascalau Razvan¹^ORCID,Lee Junsoo²,Nazlioglu Saban³⁴,Lu Yan (Olivia)²

Affiliation:

1. Department of Economics and Finance SUNY Plattsburgh Plattsburgh NY USA

2. Department of Economics The University of Alabama Tuscaloosa AL USA

3. Department of International Trade and Finance Pamukkale University Denizli Turkey

4. Department of Economics and Finance Nisantasi University Istanbul Turkey

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12640

Reference36 articles.

1. An LM Test for a Unit Root in the Presence of a Structural Change

2. Cointegration Testing Under Structural Breaks: A Robust Extended Error Correction Model

3. Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market

4. A Stationarity Test in the Presence of an Unknown Number of Smooth Breaks

5. Nonparametric tests for unit roots and cointegration

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1. Agent expectations and news sentiment in the dynamics of price in a financial market;Review of Behavioral Finance;2024-04-16

2. Unemployment and Labour Force Participation in South Korea: Johansen-Type Cointegration Analysis with a Fourier Approach;Politická ekonomie;2024-02-27

3. Toward Sustainable Development: Assessing the Effects of Financial Contagion on Human Well-Being in Romania;Risks;2023-11-20

4. Empirical study on the impact of working capital management on going concern of manufacturing firms in Ghana;Cogent Business & Management;2023-05-30

5. TESTING THE TOURISM-LED GROWTH HYPOTHESIS WITH STRUCTURAL BREAKS: THE CASE OF TURKEY;Pamukkale University Journal of Social Sciences Institute;2022-06-22

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