Time-varying cointegration model using wavelets

DOI10.1016/j.spl.2018.09.017zbMath1407.62310OpenAlexW2897504830WikidataQ129116056 ScholiaQ129116056MaRDI QIDQ1726797

Pedro Alberto Morettin, Airlane Pereira Alencar, Eder Lucio da Fonseca

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.09.017

zbMATH Keywords

waveletspurchasing power paritydynamic cointegrationtime-varying VEC model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• WaveThresh4
• astsa

Cites Work

• Statistical analysis of cointegration vectors
• Structural changes in the cointegrated vector autoregressive model
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• TIME-VARYING COINTEGRATION
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