A wavelet approach to multiple cointegration testing
This paper introduces a class of cointegration tests based on estimated low-pass and high-pass regression coefficients from the same wavelet transform of the original time series data. The procedure can be applied to test the null of cointegration in a n + k multivariate system with n cointegrating...
| Main Author: | |
|---|---|
| Format: | Working paper |
| Published: |
University of Oxford
2013
|