Time-varying cointegration with an application to the UK Great Ratios
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Publication:2208633
DOI10.1016/j.econlet.2020.109213zbMath1451.91144OpenAlexW3022346519MaRDI QIDQ2208633
Katerina Petrova, George Kapetanios, Simon Price, Stephen Millard
Publication date: 3 November 2020
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: http://repository.essex.ac.uk/27492/1/GreatRatios_JEL_Mar_2020_RRS_katerina_2.pdf
Cites Work
- Estimating smooth structural change in cointegration models
- A likelihood approximation for locally stationary processes
- Nonparametric quasi-maximum likelihood estimation for Gaussian locally stationary processes
- Inference on stochastic time-varying coefficient models
- COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
- Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
- Time Series Tests of Endogenous Growth Models
- TIME-VARYING COINTEGRATION
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