Johansen test with Fourier-type smooth nonlinear trends in cointegrating relations
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DOI: 10.1080/07474938.2025.2530640
Abstract: Abstract. We develop a methodology for testing the cointegrating rank in vector autoregressive (VAR) models in the presence of Fourier-type smooth nonlinear deterministic trends in cointegrating relations. The limiting distribution of log-likelihood ratio test statistics… read more here.
Keywords: type smooth; smooth nonlinear; methodology; cointegrating relations ... See more keywords