Please use this identifier to cite or link to this item:
Author(s): Bierens, H.
Martins, L. F.
Date: 2010
Title: Time varying cointegration
Volume: 26
Number: 5
Pages: 1453-1490
ISSN: 0266-4666
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.
Peerreviewed: Sim
Access type: Open Access
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

Files in This Item:
File Description SizeFormat 
publisher_version_ECONOMETRIC_THEORY.PDF496,96 kBAdobe PDFView/Open

FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpaceOrkut
Formato BibTex mendeley Endnote Logotipo do DeGóis Logotipo do Orcid 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.