Scholarly Comments on Academic Economics

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.

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Volume (Issue)
Pages
133–137
Published
JEL classification
C32
Keywords
Nonstationarity, cointegration, functional time series.
Downloads
3,854 article downloads
3,466 complete issue downloads
Total: 7,320

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