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Cointegration with time-varying parameters: literature review
[Коинтеграция С Меняющимися Во Времени Параметрами: Обзор Литературы]

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  • Malikova, Ekaterina (Маликова, Екатерина)

    (The Russian Presidential Academy of National Economy and Public Administration)

Abstract

This paper reviews the literature devoted to the analysis of cointegrated time series in the economy, where the parameters of cointegration vary over time. The main studies that develop methods for modeling the movement of parameters, different approaches to evaluating the model, as well as tests for cointegration are considered. In addition, the areas of application of cointegration models with time-varying parameters in macroeconomic studies are highlighted.

Suggested Citation

  • Malikova, Ekaterina (Маликова, Екатерина), 2022. "Cointegration with time-varying parameters: literature review [Коинтеграция С Меняющимися Во Времени Параметрами: Обзор Литературы]," Working Papers w20220235, Russian Presidential Academy of National Economy and Public Administration.
    • Handle: RePEc:rnp:wpaper:w20220235
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    More about this item

    Keywords

    time series cointegration; TVC model;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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