Time-varying cointegration
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Cites work
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- COINTEGRATING SMOOTH TRANSITION REGRESSIONS
- Cointegration analysis in the presence of structural breaks in the deterministic trend
- Comparison of tests for the cointegrating rank of a VAR process with a structural shift
- Distribution of eigenvalues in multivariate statistical analysis
- Estimating the dimension of a model
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Multiple Time Series Regression with Integrated Processes
- Nonlinear estimation using estimated cointegrating relations
- Optimal changepoint tests for normal linear regression
- Some tests for parameter constancy in cointegrated VAR‐models
- Stability tests in error correction models
- Statistical analysis of cointegration vectors
- Stochastic cointegration: estimation and inference.
- Structural changes in the cointegrated vector autoregressive model
- Test for partial parameter instability in regressions with \(I(1)\) processes
- Testing For and Dating Common Breaks in Multivariate Time Series
- Testing for cointegration using partially linear models
- Testing for structural change in cointegrated regression models: some comparisons and generalizations
- Testing for the cointegration rank when some cointegrating directions are changing
- Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate
- Tests for cointegration with infinite variance errors
- Tests of cointegrating rank with trend-break
- Threshold Cointegration
- Topics in Advanced Econometrics
- Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
Cited in
(42)- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- The Fisher effect in the presence of time-varying coefficients
- Do they still matter? -- Impact of fossil fuels on electricity prices in the light of increased renewable generation
- Time-varying cointegration model using wavelets
- Cointegration and speed of convergence to equilibrium
- Adaptive LASSO for selecting Fourier coefficients in a functional smooth time-varying cointegrating regression: an application to the Feldstein-Horioka puzzle
- Combining p-values to test for multiple structural breaks in cointegrated regressions
- Predicting global temperature anomaly: a definitive investigation using an ensemble of twelve competing forecasting models
- Time-varying cointegration with an application to the UK Great Ratios
- Trend of commodity prices and exchange rate in Australian economy: time varying parameter model approach
- Time-varying lag cointegration
- Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
- Testing for no-cointegration under time-varying variance
- The FMLS-based CUSUM statistic for testing the null of smooth time-varying cointegration in the presence of a structural break
- Testing cointegration relationship in a semiparametric varying coefficient model
- Cointegration in continuous time for factor models
- Regime-switching cointegration
- Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials
- Multiple structural breaks in cointegrating regressions: a model selection approach
- Detecting equilibrium correction with smoothly time-varying strength
- Forecasting cointegrated nonstationary time series with time-varying variance
- Estimation and inference for varying-coefficient models with nonstationary regressors using penalized splines
- Robust estimation and inference for threshold models with integrated regressors
- scientific article; zbMATH DE number 5736245 (Why is no real title available?)
- Cointegrating regressions with time heterogeneity
- COINTEGRATION FOR PERIODICALLY INTEGRATED PROCESSES
- REGIME-SENSITIVE COINTEGRATION WITH AN APPLICATION TO INTEREST-RATE PARITY
- COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
- Estimation and inference in time series with omitted I(1) variables
- A two-step procedure for testing partial parameter stability in cointegrated regression models
- On cointegration for processes integrated at different frequencies
- Cointegrating rank selection in models with time-varying variance
- Bootstrap tests for time varying cointegration
- Time-varying cointegration and the Kalman filter
- A state-space approach to time-varying reduced-rank regression
- Time-varying cointegration, identification, and cointegration spaces
- Clean energy consumption and economic growth in China: a time-varying analysis
- A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank
- Time-varying vector error-correction models: estimation and inference
- Local Whittle estimation in time-varying long memory series
- Speed of adjustment in cointegrated systems
- Bayesian inference in a time varying cointegration model
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