Scientific journal paper Q1
Time varying cointegration
Herman Bierens (Bierens, H.); Luís Martins (Martins, L. F.);
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
Publication Identifiers
2-s2.0-77957244891
10.1017/S0266466609990648
WOS:000282744900007
000282744900007
ci-pub-6204
http://hdl.handle.net/10071/9931
Other Publication Details
2010
Cambridge University Press
Web of Science©; Scopus;
0266-4666 (print)
1469-4360 (online)
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0.000
26 5
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1453 - 1490
Yes
Both (printed and digital)
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