Time-varying cointegration and the Kalman filter

DOI10.1080/07474938.2020.1861776zbMath1490.62241OpenAlexW3122385987MaRDI QIDQ5862506

J. Isaac Miller, Taner Yigit, Burak Alparslan Eroğlu

Publication date: 9 March 2022

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

Full work available at URL: http://hdl.handle.net/11693/75407

zbMATH Keywords

Kalman filterclimate changespurious regressiontime-varying cointegration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

Cites Work

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