A NOTE ON GENERALIZING THE CONCEPT OF COINTEGRATION

Building on the time-varying-coefficient (TVC) model, we propose a generalization of the concept of cointegration, allowing for the possibility that a set of variables measured with error entails a nonlinear relationship with unknown functional form. Both the dependent and explanatory variables of t...

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Veröffentlicht in:	Macroeconomic dynamics 2015-10, Vol.19 (7), p.1633-1646
Hauptverfasser:	Hall, Stephen G., Swamy, P.A.V.B., Tavlas, George S.
Format:	Artikel
Sprache:	eng
Schlagworte:	Cointegration analysis Dependent variables Economic theory Macroeconomics Studies Variables
Online-Zugang:	Volltext
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