Time-varying cointegration model using wavelets

Eder Lucio da Fonseca, Airlane Pereira Alencar and Pedro Alberto Morettin

Statistics & Probability Letters, 2019, vol. 145, issue C, 260-267

Abstract: This work proposes a wavelet based Vector Error Correction Model with time-varying cointegration. The maximum likelihood estimators and likelihood ratio statistics were evaluated based on Monte Carlo and Bootstrap simulations. The model was used to study the Purchasing Power Parity hypothesis.

Keywords: Time-varying VEC model; Dynamic cointegration; Purchasing power parity; Wavelets (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2018.09.017

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