TIME-VARYING COINTEGRATION

DOI10.1017/S0266466609990648zbMath1198.62088OpenAlexW1996614961MaRDI QIDQ4933586

Luis F. Martins, Herman J. Bierens

Publication date: 14 October 2010

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

Full work available at URL: https://doi.org/10.1017/s0266466609990648

Mathematics Subject Classification ID

Related Items (24)

Time-varying cointegration, identification, and cointegration spaces ⋮ ESTIMATION AND INFERENCE FOR VARYING-COEFFICIENT MODELS WITH NONSTATIONARY REGRESSORS USING PENALIZED SPLINES ⋮ ROBUST ESTIMATION AND INFERENCE FOR THRESHOLD MODELS WITH INTEGRATED REGRESSORS ⋮ A two‐step procedure for testing partial parameter stability in cointegrated regression models ⋮ Predicting global temperature anomaly: a definitive investigation using an ensemble of twelve competing forecasting models ⋮ The Fisher effect in the presence of time-varying coefficients ⋮ On cointegration for processes integrated at different frequencies ⋮ Clean energy consumption and economic growth in China: a time-varying analysis ⋮ Do they still matter? -- Impact of fossil fuels on electricity prices in the light of increased renewable generation ⋮ Regime-switching cointegration ⋮ Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials ⋮ Time-varying cointegration with an application to the UK Great Ratios ⋮ Multiple structural breaks in cointegrating regressions: a model selection approach ⋮ Trend of commodity prices and exchange rate in Australian economy: time varying parameter model approach ⋮ Time-varying cointegration model using wavelets ⋮ Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle ⋮ Combining \(p\)-values to test for multiple structural breaks in cointegrated regressions ⋮ Testing cointegration relationship in a semiparametric varying coefficient model ⋮ Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany ⋮ Bayesian inference in a time varying cointegration model ⋮ Bootstrap tests for time varying cointegration ⋮ Time-varying cointegration and the Kalman filter ⋮ The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break ⋮ A state-space approach to time-varying reduced-rank regression

Cites Work

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