Time varying cointegration

Detalhes bibliográficos
Autor(a) principal: Bierens, H.
Data de Publicação: 2010
Outros Autores: Martins, L. F.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://ciencia.iscte-iul.pt/public/pub/id/6204
http://hdl.handle.net/10071/9931
Resumo: 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.
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spelling Time varying cointegrationIn 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.Cambridge University Press2015-10-07T14:16:39Z2010-01-01T00:00:00Z20102015-10-07T14:13:51Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://ciencia.iscte-iul.pt/public/pub/id/6204http://hdl.handle.net/10071/9931eng0266-4666Bierens, H.Martins, L. F.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:23:42Zoai:repositorio.iscte-iul.pt:10071/9931Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:10:49.525339Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Time varying cointegration
title Time varying cointegration
spellingShingle Time varying cointegration
Bierens, H.
title_short Time varying cointegration
title_full Time varying cointegration
title_fullStr Time varying cointegration
title_full_unstemmed Time varying cointegration
title_sort Time varying cointegration
author Bierens, H.
author_facet Bierens, H.
Martins, L. F.
author_role author
author2 Martins, L. F.
author2_role author
dc.contributor.author.fl_str_mv Bierens, H.
Martins, L. F.
description 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.
publishDate 2010
dc.date.none.fl_str_mv 2010-01-01T00:00:00Z
2010
2015-10-07T14:16:39Z
2015-10-07T14:13:51Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://ciencia.iscte-iul.pt/public/pub/id/6204
http://hdl.handle.net/10071/9931
url https://ciencia.iscte-iul.pt/public/pub/id/6204
http://hdl.handle.net/10071/9931
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0266-4666
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Cambridge University Press
publisher.none.fl_str_mv Cambridge University Press
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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