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Time varying cointegration with an application to the UK Great Ratios

Kapetanios, George and Millard, Stephen and Petrova, Katerina and Price, Simon (2020) 'Time varying cointegration with an application to the UK Great Ratios.' Economics Letters. ISSN 0165-1765

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Abstract

We build on an estimation method which can accommodate time variation in a cointegrating relationship and present a test for cointegration under this setup. We apply our test procedure to the UK Great Ratios and find little evidence for cointegration when the parameters are assumed constant, but strong evidence when allowing them to drift slowly over time.

Item Type: Article
Uncontrolled Keywords: Time variation, Great Ratios, cointegration
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Elements
Date Deposited: 07 May 2020 13:50
Last Modified: 07 Jun 2020 15:15
URI: http://repository.essex.ac.uk/id/eprint/27492

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