Please use this identifier to cite or link to this item:
http://hdl.handle.net/10071/7336
Author(s): | Martins, L. F. Gabriel, V. J. |
Date: | 2013 |
Title: | Time-varying cointegration, identification, and cointegration spaces |
Volume: | 17 |
Number: | 2 |
Pages: | 199-209 |
ISSN: | 1558-3708 |
Keywords: | Time-varying cointegration Cointegration spaces Identification |
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. |
Peerreviewed: | Sim |
Access type: | Embargoed Access |
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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