COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS

DOI10.1017/S0266466699155026MaRDI QIDQ4512707zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

specification testscointegrationtime varying coefficients

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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• Estimating smooth structural change in cointegration models
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• Estimation of cointegrated models with exogenous variables
• Time-varying cointegration with an application to the UK Great Ratios
• Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing
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• COINTEGRATING SMOOTH TRANSITION REGRESSIONS
• A re-examination of Libor rigging: a time-varying cointegration perspective
• Local composite quantile regression smoothing for Harris recurrent Markov processes
• Time-varying lag cointegration
• Bayesian inference in a time varying cointegration model
• Spurious functional-coefficient regression models and robust inference with marginal integration
• A weighted sieve estimator for nonparametric time series models with nonstationary variables
• Testing cointegration relationship in a semiparametric varying coefficient model
• Functional-coefficient models for nonstationary time series data
• Cointegration in continuous time for factor models
• On cointegration for processes integrated at different frequencies
• Nonparametric inference for quantile cointegrations with stationary covariates
• Multiple structural breaks in cointegrating regressions: a model selection approach
• Estimation of semi-varying coefficient models with nonstationary regressors
• Time-varying cointegration, identification, and cointegration spaces
• Additive nonparametric models with time variable and both stationary and nonstationary regressors
• A nonparametric test for changing trends
• A semiparametric cointegrating regression: investigating the effects of age distributions on consumption and saving
• Time-varying cointegration and the Kalman filter
• Functional-coefficient cointegration models in the presence of deterministic trends
• Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle

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