Time-varying lag cointegration

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:390

Article

Franses, Philip Hans¹ 

[1] Erasmus Sch Econ, Inst Econometr, POB 1738, NL-3000 DR Rotterdam, Netherlands

关键词: Cointegration;    Leads;    Lags;    Estimation;   

DOI  :  10.1016/j.cam.2020.113272

来源: Elsevier

【 摘 要 】

This paper proposes an alternative estimation method for cointegration, which allows for variation in the leads and lags in the cointegration relation. The method is more powerful than a standard method. Illustrations to annual inflation rates for Japan and the USA and to seasonal cointegration for quarterly consumption and income in Japan shows its ease of use and empirical merits. (C) 2021 The Author. Published by Elsevier B.V.

【 授权许可】

Free