Time-varying cointegration model using wavelets
Author
Abstract
Suggested Citation
DOI: 10.1016/j.spl.2018.09.017
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Helmut Lütkepohl, 2005. "New Introduction to Multiple Time Series Analysis," Springer Books, Springer, number 978-3-540-27752-1, June.
- Barry Falk & Chun-Hsuan Wang, 2003.
"Testing long-run PPP with infinite-variance returns,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 471-484.
- Falk, Barry L. & Wang, Chun-Hsuan, 2003. "Testing Long-Run Ppp with Infinite-Variance Returns," Staff General Research Papers Archive 10323, Iowa State University, Department of Economics.
- Hansen, Peter Reinhard, 2003.
"Structural changes in the cointegrated vector autoregressive model,"
Journal of Econometrics, Elsevier, vol. 114(2), pages 261-295, June.
- Peter Reinhard Hansen, 2000. "Structural Changes in the Cointegrated Vector Autoregressive Model," Working Papers 2000-20, Brown University, Department of Economics.
- Bierens, Herman J. & Martins, Luis F., 2010. "Time-Varying Cointegration," Econometric Theory, Cambridge University Press, vol. 26(5), pages 1453-1490, October.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Park, Joon Y. & Hahn, Sang B., 1999. "Cointegrating Regressions With Time Varying Coefficients," Econometric Theory, Cambridge University Press, vol. 15(5), pages 664-703, October.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-228, August.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Yoon, Jong Cheol & Min, Dai Hong & Jei, Sang Young, 2020. "Purchasing power parity vs. uncovered interest rate parity for NAFTA countries: The value of incorporating time-varying parameter model," Economic Modelling, Elsevier, vol. 90(C), pages 494-500.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Miller, Stephen M. & Martins, Luis Filipe & Gupta, Rangan, 2019.
"A Time-Varying Approach Of The Us Welfare Cost Of Inflation,"
Macroeconomic Dynamics, Cambridge University Press, vol. 23(2), pages 775-797, March.
- Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014. "A Time-Varying Approach of the US Welfare Cost of Inflation," Working papers 2014-11, University of Connecticut, Department of Economics.
- Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014. "A Time-Varying Approach of the US Welfare Cost of Inflation," Working Papers 201419, University of Pretoria, Department of Economics.
- repec:ipg:wpaper:2014-474 is not listed on IDEAS
- Kühl, Michael, 2007. "Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses," University of Göttingen Working Papers in Economics 68, University of Goettingen, Department of Economics.
- Christou, Christina & Gupta, Rangan & Nyakabawo, Wendy & Wohar, Mark E., 2018.
"Do house prices hedge inflation in the US? A quantile cointegration approach,"
International Review of Economics & Finance, Elsevier, vol. 54(C), pages 15-26.
- Christina Christou & Rangan Gupta & Wendy Nyakabawo & Mark E. Wohar, 2017. "Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach," Working Papers 201707, University of Pretoria, Department of Economics.
- Park, Cheolbeom & Park, Sookyung, 2013.
"Exchange rate predictability and a monetary model with time-varying cointegration coefficients,"
Journal of International Money and Finance, Elsevier, vol. 37(C), pages 394-410.
- Cheolbeom Park & Sookyung Park, 2013. "Exchange Rate Predictability and a Monetary Model with Time-varying Cointegration Coefficients," Discussion Paper Series 1302, Institute of Economic Research, Korea University.
- Eleyan, Mohammed I.Abu & Çatık, Abdurrahman Nazif & Balcılar, Mehmet & Ballı, Esra, 2021. "Are long-run income and price elasticities of oil demand time-varying? New evidence from BRICS countries," Energy, Elsevier, vol. 229(C).
- David E. Allen & Michael McAleer, 2020. "A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index," Energies, MDPI, vol. 13(15), pages 1-11, August.
- Campos, Eduardo Lima & Cysne, Rubens Penha, 2017.
"A time-varying fiscal reaction function for Brazil,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
795, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Campos, Eduardo Lima & Cysne, Rubens Penha, 2018. "A time-varying fiscal reaction function for Brazil," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 798, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- M. T. Alguacil & V. Orts, 2003.
"Inward Foreign Direct Investment and Imports in Spain,"
International Economic Journal, Taylor & Francis Journals, vol. 17(3), pages 19-38.
- M. T. Alguacil & V. Orts, "undated". "Inward Foreign Direct Investment and Imports in Spain," Working Papers on International Economics and Finance 02-01, FEDEA.
- M. T. Alguacil & Vicente Orts, 2002. "Inward Foreign Direct Investment And Imports In Spain," Working Papers 02-01, Asociación Española de Economía y Finanzas Internacionales.
- Fredj Jawadi & Catherine Bruneau & Nadia Sghaier, 2009. "Nonlinear Cointegration Relationships Between Non‐Life Insurance Premiums and Financial Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 753-783, September.
- Richard H. Clarida & Lucio Sarno & Mark P. Taylor & Giorgio Valente, 2006.
"The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates,"
The Journal of Business, University of Chicago Press, vol. 79(3), pages 1193-1224, May.
- Taylor, Mark & Clarida, Richard & Sarno, Lucio & Valente, Giorgio, 2005. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," CEPR Discussion Papers 4835, C.E.P.R. Discussion Papers.
- Boucekkine, R. & Laksaci, M. & Touati-Tliba, M., 2021.
"Long-run stability of money demand and monetary policy: The case of Algeria,"
The Journal of Economic Asymmetries, Elsevier, vol. 24(C).
- Raouf Boucekkine & Mohammed Laksaci & Mohamed Touati-Tliba, 2021. "Long-run stability of money demand and monetary policy: The case of Algeria," Post-Print hal-03545424, HAL.
- Raouf Boucekkine & Mohammed Laksaci & Mohamed Touati-Tliba, 2021. "Long-run stability of money demand and monetary policy: the case of Algeria," AMSE Working Papers 2104, Aix-Marseille School of Economics, France.
- Raouf Boucekkine & Mohammed Laksaci & Mohamed Touati-Tliba, 2021. "Long-run stability of money demand and monetary policy: the case of Algeria," Working Papers halshs-03120699, HAL.
- Raouf Boucekkine & M. Laksaci & M. Touati-Tliba, 2021. "Long-run stability of money demand and monetary policy: the case of Algeria," LIDAM Discussion Papers IRES 2021001, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Levent KORAP, 2008.
"Exchange Rate Determination Of Tl/Us$:A Co-Integration Approach,"
Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 7(1), pages 24-50, May.
- Levent, Korap, 2008. "Exchange rate determination of TL/US$: a co-integration approach," MPRA Paper 19659, University Library of Munich, Germany.
- Dimpfl, Thomas, 2014. "A note on cointegration of international stock market indices," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 10-16.
- Bardsen, G. & Klovland, J.T., 1990.
"Finding The Rigth Nominal Anchor: The Cointegration Of Money, Credit And Nominal Income In Norway,"
The Warwick Economics Research Paper Series (TWERPS)
350, University of Warwick, Department of Economics.
- Bardsen, G. & Klovland, J.T., 1990. "Finding the Right Nominal Anchor: The Cointegration of Money, Credit and Nominal Income in Norway," Papers 06-90, Norwegian School of Economics and Business Administration-.
- Bardsen, Gunnar & Klovland, Jan Tore, 1990. "Finding The Right Nominal Anchor: The Cointegration Of Money, Credit And Nominal Income In Norway," Economic Research Papers 268385, University of Warwick - Department of Economics.
- Lee, Chingnun & Shie, Fu Shuen & Chang, Chiao Yi, 2012. "How close a relationship does a capital market have with other such markets? The case of Taiwan from the Asian financial crisis," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 349-362.
- Eleni Constantinou & Avo Kazandjian & Georgios P. Kouretas & Vera Tahmazian, 2008.
"Common Stochastic Trends Among The Cyprus Stock Exchange And The Ase, Lse And Nyse,"
Bulletin of Economic Research, Wiley Blackwell, vol. 60(4), pages 327-349, October.
- Eleni Constantinou & Avo Kazandjian & George Kouretas & Vera Tahmazian, 2005. "Common Stochastic Trends among the Cyprus Stock Exchange and the ASE, LSE and NYSE," Working Papers 0520, University of Crete, Department of Economics.
- Ali, Sharafat, 2014. "Inflation, Income Inequality and Economic Growth in Pakistan: A Cointegration Analysis," MPRA Paper 53706, University Library of Munich, Germany.
- Pedro Hugo Clavijo Cortes, 2017. "Balance comercial y volatilidad del tipo de cambio nominal: Un estudio de series de tiempo para Colombia," Revista Economía y Región, Universidad Tecnológica de Bolívar, vol. 11(1), pages 37-58, June.
- PHILIP E.T. LEWIS & GARRY A. MacDONALD, 1993. "Testing for Equilibrium in the Australian Wage Equation," The Economic Record, The Economic Society of Australia, vol. 69(3), pages 295-304, September.
- André Kallåk Anundsen & Ragnar Nymoen, 2015.
"Did US Consumers 'Save for a Rainy Day' Before the Great Recession?,"
CESifo Working Paper Series
5347, CESifo.
- Anundsen, Andre K. & Nymoen, Ragnar, 2015. "Did US consumers `save for a rainy day' before the Great Recession?," Memorandum 11/2015, Oslo University, Department of Economics.
- André K. Anundsen & Ragnar Nymoen, 2015. "Did US consumers ‘save for a rainy day’ before the Great Recession?," Working Paper 2015/08, Norges Bank.
More about this item
Keywords
Time-varying VEC model; Dynamic cointegration; Purchasing power parity; Wavelets;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:145:y:2019:i:c:p:260-267. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.