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, 193. p. 109213. DOI https://doi.org/10.1016/j.econlet.2020.109213
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, 193. p. 109213. DOI https://doi.org/10.1016/j.econlet.2020.109213
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, 193. p. 109213. DOI https://doi.org/10.1016/j.econlet.2020.109213
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 Faculty of Social Sciences > Essex Business School |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 07 May 2020 13:50 |
| Last Modified: | 30 Oct 2024 17:25 |
| URI: | http://repository.essex.ac.uk/id/eprint/27492 |
Available files
Filename: GreatRatios_JEL_Mar_2020_RRS_katerina_2.pdf