Time-varying cointegration with an application to the UK Great Ratios

C-Tier
Journal: Economics Letters
Year: 2020
Volume: 193
Issue: C

Score contribution per author:

0.251 = (α=2.01 / 4 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:193:y:2020:i:c:s0165176520301543
Journal Field
General
Author Count
4
Added to Database
2026-01-25