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

George Kapetanios, Stephen Millard, Katerina Petrova and Simon Price

Economics Letters, 2020, vol. 193, issue C

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.

Keywords: Time variation; Great Ratios; Cointegration (search for similar items in EconPapers)
JEL-codes: C14 C26 C51 O4 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:193:y:2020:i:c:s0165176520301543

DOI: 10.1016/j.econlet.2020.109213

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