Author/Authors
BIERENS، HERMAN J. نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
38
From page
1453
To page
1490
Abstract
In this paper we propose a time-varying vector error correction model in which the
cointegrating relationship varies smoothly over time. The Johansen setup is a special
case of our model. A likelihood ratio test for time-invariant cointegration is defined
and its asymptotic chi-square distribution is derived. We apply our test to the purchasing
power parity hypothesis of international prices and nominal exchange rates,
and we find evidence of time-varying cointegration.
Journal title
ECONOMETRIC THEORY
Serial Year
2010
Journal title
ECONOMETRIC THEORY
Record number
653355
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