Time-varying cointegration, identification, and cointegration spaces

DOI10.1515/snde-2012-0022zbMath1506.62522OpenAlexW2075686824MaRDI QIDQ5881687

Luis F. Martins, Vasco J. Gabriel

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2012-0022

zbMATH Keywords

identificationtime-varying cointegrationcointegration spaces

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items

Bootstrap tests for time varying cointegration

Cites Work

• Generalized reduced rank tests using the singular value decomposition
• Bayesian point estimation of the cointegration space
• Structural changes in the cointegrated vector autoregressive model
• ON RANK ESTIMATION IN SYMMETRIC MATRICES: THE CASE OF INDEFINITE MATRIX ESTIMATORS
• Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
• TIME-VARYING COINTEGRATION

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