Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10071/7336
Registo completo
Campo DC | Valor | Idioma |
---|---|---|
dc.contributor.author | Martins, L. F. | - |
dc.contributor.author | Gabriel, V. J. | - |
dc.date.accessioned | 2014-05-22T13:42:26Z | - |
dc.date.available | 2014-05-22T13:42:26Z | - |
dc.date.issued | 2013 | - |
dc.identifier | http://dx.doi.org/10.1515/snde-2012-0022 | en_US |
dc.identifier.issn | 1558-3708 | por |
dc.identifier.uri | https://ciencia.iscte-iul.pt/public/pub/id/15045 | en_US |
dc.identifier.uri | http://hdl.handle.net/10071/7336 | - |
dc.description | WOS:000317481100005 (Nº de Acesso Web of Science) | - |
dc.description.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. | por |
dc.language.iso | eng | por |
dc.publisher | De Gruyter | por |
dc.rights | embargoedAccess | por |
dc.subject | Time-varying cointegration | por |
dc.subject | Cointegration spaces | por |
dc.subject | Identification | por |
dc.title | Time-varying cointegration, identification, and cointegration spaces | por |
dc.type | article | en_US |
dc.pagination | 199-209 | por |
dc.publicationstatus | Publicado | por |
dc.peerreviewed | Sim | por |
dc.relation.publisherversion | The definitive version is available at: http://dx.doi.org/10.1515/snde-2012-0022 | por |
dc.journal | Studies in Nonlinear Dynamics and Econometrics | por |
dc.distribution | Internacional | por |
dc.volume | 17 | por |
dc.number | 2 | por |
degois.publication.firstPage | 199 | por |
degois.publication.lastPage | 209 | por |
degois.publication.issue | 2 | por |
degois.publication.title | Studies in Nonlinear Dynamics and Econometrics | por |
dc.date.updated | 2014-05-22T13:41:21Z | - |
Aparece nas coleções: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica DMQGE-RI - Artigos em revistas internacionais com arbitragem científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
---|---|---|---|---|
publisher_version_90366012.pdf Restricted Access | 325,43 kB | Adobe PDF | Ver/Abrir Request a copy |
Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.