Time varying cointegration

dc.contributor.author	Bierens, H.
dc.contributor.author	Martins, L. F.
dc.date.accessioned	2015-10-07T14:16:39Z
dc.date.available	2015-10-07T14:16:39Z
dc.date.issued	2010
dc.date.updated	2015-10-07T14:13:51Z
dc.description	WOS:000282744900007 (Nº de Acesso Web of Science)
dc.description.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.	por
dc.distribution	Internacional	por
dc.identifier.issn	0266-4666	por
dc.identifier.uri	https://ciencia.iscte-iul.pt/public/pub/id/6204
dc.identifier.uri	http://hdl.handle.net/10071/9931
dc.journal	Econometric Theory	por
dc.language.iso	eng	por
dc.number	5	por
dc.pagination	1453-1490	por
dc.peerreviewed	Sim	por
dc.publicationstatus	Publicado	por
dc.publisher	Cambridge University Press	por
dc.relation.publisherversion	The definitive version is available at: http://dx.doi.org/10.1017/S0266466609990648	por
dc.rights	open access	por
dc.title	Time varying cointegration	por
dc.type	article	en_US
dc.volume	26	por
degois.publication.firstPage	1453	por
degois.publication.issue	5	por
degois.publication.lastPage	1490	por
degois.publication.title	Econometric Theory	por
dspace.entity.type	Publication	en

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