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http://hdl.handle.net/10071/7336
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Title: Time-varying cointegration, identification, and cointegration spaces
Authors: Martins, L. F.
Gabriel, V. J.
Keywords: Time-varying cointegration
Cointegration spaces
Identification
Issue Date: 2013
Publisher: De Gruyter
Abstract: We derive the conditions under which time-varying cointegration leads to cointegration spaces that may be time-invariant or, in contrast, time-varying. The model of interest is a vector error correction model with arbitrary time-varying cointegration parameters. We clarify the role of identification and normalization restrictions and show that structural breaks in error-correction models may actually correspond to stable long-run economic relationships, as opposed to a single-equation setup, in which an identification restriction is imposed. Moreover, we show that, in a time-varying cointegrating relationship with a given number of variables and cointegration rank, there is a minimum number of orthogonal Fourier functions that most likely guarantees time-varying cointegrating spaces.
Description: WOS:000317481100005 (Nº de Acesso Web of Science)
Peer reviewed: Sim
URI: https://ciencia.iscte-iul.pt/public/pub/id/15045
http://hdl.handle.net/10071/7336
ISSN: 1558-3708
Publisher version: The definitive version is available at: http://dx.doi.org/10.1515/snde-2012-0022
Appears in Collections:BRU-RI - Artigo em revista científica internacional com arbitragem científica
DMQGE-RI - Artigos em revistas internacionais com arbitragem científica

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