Fourier ADL cointegration test to approximate smooth breaks with new evidence from Crude Oil Market
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DOI: 10.1016/j.econmod.2016.11.004
Abstract: Economic data is typically subject to a number of different forms of structural breaks. Ignoring structural breaks in a model can lead to misspecification issues and false conclusions. This paper proposes a new Autoregressive Distributive… read more here.
Keywords: adl cointegration; structural breaks; breaks new; cointegration test ... See more keywords
The Determinants of Forest Products Footprint: A New Fourier Cointegration Approach
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DOI: 10.3390/f14050875
Abstract: This study aims to determine the factors that affect the forest products footprint (FPF) in Brazil during the period 1965–2018 by proposing a new cointegration test which augments the Engle-Granger cointegration test with a Fourier… read more here.
Keywords: cointegration; forest products; engle granger; cointegration test ... See more keywords