Cointegration with time-varying parameters: literature review

Коинтеграция с меняющимися во времени параметрами: обзор литературы

Malikova, Ekaterina (Маликова, Екатерина) ()
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Malikova, Ekaterina (Маликова, Екатерина): The Russian Presidential Academy of National Economy and Public Administration

Working Papers from 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.

Keywords: time series cointegration; TVC model (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2022-09-29
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