COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
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Publication:4512707
DOI10.1017/S0266466699155026zbMATH Open0963.62080OpenAlexW2136441747MaRDI QIDQ4512707FDOQ4512707
Authors: Joon Y. Park, Sang B. Hahn 
Publication date: 8 July 2001
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466699155026
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Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
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- COINTEGRATING SMOOTH TRANSITION REGRESSIONS
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- A semiparametric cointegrating regression: investigating the effects of age distributions on consumption and saving
- Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle
- Regime-switching cointegration
- Bootstrap tests for time varying cointegration
- Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing
- Functional-coefficient cointegration models
- Time-varying lag cointegration
- Time-varying cointegration, identification, and cointegration spaces
- Time-varying cointegration model using wavelets
- Local composite quantile regression smoothing for Harris recurrent Markov processes
- Time varying risk aversion and its connectedness: evidence from cryptocurrencies
- A weighted sieve estimator for nonparametric time series models with nonstationary variables
- On cointegration for processes integrated at different frequencies
- Cointegration in continuous time for factor models
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Estimation of cointegrated models with exogenous variables
- Functional-coefficient models for nonstationary time series data
- Testing cointegration relationship in a semiparametric varying coefficient model
- Bayesian inference in a time varying cointegration model
- Spurious functional-coefficient regression models and robust inference with marginal integration
- The Fisher effect in the presence of time-varying coefficients
- Interpreting the coefficients in dynamic two-way fixed effects regressions with time-varying covariates
- Additive nonparametric models with time variable and both stationary and nonstationary regressors
- Functional-coefficient cointegration models in the presence of deterministic trends
- Cointegrating regressions with time heterogeneity
- Estimating smooth structural change in cointegration models
- Nonparametric inference for quantile cointegrations with stationary covariates
- A re-examination of Libor rigging: a time-varying cointegration perspective
- Time-varying cointegration and the Kalman filter
- Cointegration of control parameter time series measured on motors at the stage of assemblage
- Kernel-based inference in time-varying coefficient cointegrating regression
- Estimation of semi-varying coefficient models with nonstationary regressors
- Quantile cointegrating regression
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