Artigo em revista científica
Time-varying cointegration, identification, and cointegration spaces
Luís Martins (Martins, L. F.); Vasco J. Gabriel (Gabriel, V. J.);
Título Revista
Studies in Nonlinear Dynamics and Econometrics
Ano
2013
Língua
Inglês
País
Alemanha
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Abstract/Resumo
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.
Agradecimentos/Acknowledgements
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Palavras-chave
Time-varying cointegration; Cointegration spaces; Identification