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http://hdl.handle.net/10071/9931| Author(s): | Bierens, H. Martins, L. F. |
| Date: | 2010 |
| Title: | Time varying cointegration |
| Volume: | 26 |
| Number: | 5 |
| Pages: | 1453-1490 |
| ISSN: | 0266-4666 |
| Abstract: | In this paper we propose a time-varying vector error correction model in which the cointegrating relationship varies smoothly over time. The Johansen setup is a special case of our model. A likelihood ratio test for time-invariant cointegration is defined and its asymptotic chi-square distribution is derived. We apply our test to the purchasing power parity hypothesis of international prices and nominal exchange rates, and we find evidence of time-varying cointegration. |
| Peerreviewed: | Sim |
| Access type: | Open Access |
| Appears in Collections: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| publisher_version_ECONOMETRIC_THEORY.PDF | 496,96 kB | Adobe PDF | View/Open |
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