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Martins, L. F. & Gabriel, V. J. (2013). Time-varying cointegration, identification, and cointegration spaces. Studies in Nonlinear Dynamics and Econometrics. 17 (2), 199-209

L. F. Martins and V. J. Gabriel,  "Time-varying cointegration, identification, and cointegration spaces", in Studies in Nonlinear Dynamics and Econometrics, vol. 17, no. 2, pp. 199-209, 2013

@article{martins2013_1732208540624,
	author = "Martins, L. F. and Gabriel, V. J.",
	title = "Time-varying cointegration, identification, and cointegration spaces",
	journal = "Studies in Nonlinear Dynamics and Econometrics",
	year = "2013",
	volume = "17",
	number = "2",
	doi = "10.1515/snde-2012-0022",
	pages = "199-209",
	url = ""
}

TY  - JOUR
TI  - Time-varying cointegration, identification, and cointegration spaces
T2  - Studies in Nonlinear Dynamics and Econometrics
VL  - 17
IS  - 2
AU  - Martins, L. F.
AU  - Gabriel, V. J.
PY  - 2013
SP  - 199-209
SN  - 1558-3708
DO  - 10.1515/snde-2012-0022
AB  - 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.
ER  -