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Publication Detailed Description
Journal Title
Econometric Theory
Year (definitive publication)
2010
Language
English
Country
United States of America
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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.
Acknowledgements
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Keywords
Fields of Science and Technology Classification
- Mathematics - Natural Sciences
- Economics and Business - Social Sciences
- Sociology - Social Sciences
