Time varying cointegration
Estados Unidos da América
Web of Science®
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.
Classificação Fields of Science and Technology
- Matemáticas - Ciências Naturais
- Economia e Gestão - Ciências Sociais
- Sociologia - Ciências Sociais