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|Title:||Time-varying cointegration, identification, and cointegration spaces|
|Authors:||Martins, L. F.|
Gabriel, V. J.
|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)|
|Publisher version:||The definitive version is available at: http://dx.doi.org/10.1515/snde-2012-0022|
|Appears in Collections:||BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica|
DMQGE-RI - Artigos em revistas internacionais com arbitragem científica
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