Time-varying vector error-correction models: estimation and inference

DOI10.1016/J.JECONOM.2025.106035MaRDI QIDQ6930869zbMATH OpenFDO

Authors Jiti Gao, Bin Peng, Yayi Yan

Publication date 12 September 2025

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

cointegrationGaussian approximationspresent value modelGranger representation theoremiterated time-varying functions

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
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