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A Note on Wavelet Correlation and Cointegration
(2013-11)
In a recent paper Leong-Huang:2010 {Journal of Applied Statistics 37, 215–233} proposed a wavelet-correlation-based approach to test for cointegration between two time series.
However, correlation and cointegration are ...
Seasonal Stability Tests in gretl. An Application to International Tourism Data
(2013-09)
The seasonal stability tests of Canova & Hansen (1995) (CH) provide a method complementary to that of Hylleberg et al. (1990) for testing for seasonal unit roots. But the distribution of the CH tests are unknown in small ...