The Chang-Kim-Park Model of Cointegrated Density-Valued Time Series Cannot Accommodate a Stochastic Trend
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Abstract
In this comment on a 2016 article in the Journal of Econometrics by Yoosoon Chang, Chang Sik Kim, and Joon Y. Park I point out that the time series of densities which the authors purport to model as a nonstationary cointegrated process is in fact stationary under their assumptions, aside from a deterministic component.