COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS

DOI10.1017/S0266466699155026zbMath0963.62080OpenAlexW2136441747MaRDI QIDQ4512707

Joon Y. Park, Sang B. Hahn

Publication date: 8 July 2001

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466699155026

zbMATH Keywords

cointegrationspecification teststime varying coefficients

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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