Dear R users,
Where can I find the codes to Seasonal Coitegration tests (known as EGHL
test)? This test was presented on paper “Seasonal Cointegration: The
Japanese Consumption Function.” (Engle, R.F., C.W.J. Granger, S. Hylleberg,
and H.S. Lee; 1993).
I am looking forward any help.
Thanks in advance ,
Rafael Costa.
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