Read this article
- Access statistics
- 1,425 article downloads
- 1,720 complete issue downloads
- Total: 3,145
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.