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http://hdl.handle.net/10071/9931
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Title: Time varying cointegration
Authors: Bierens, H.
Martins, L. F.
Issue Date: 2010
Publisher: Cambridge University Press
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.
Description: WOS:000282744900007 (Nº de Acesso Web of Science)
Peer reviewed: Sim
URI: https://ciencia.iscte-iul.pt/public/pub/id/6204
http://hdl.handle.net/10071/9931
ISSN: 0266-4666
Publisher version: The definitive version is available at: http://dx.doi.org/10.1017/S0266466609990648
Appears in Collections:BRU-RI - Artigo em revista científica internacional com arbitragem científica

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