A recursive cointegration test using the Kalman filter and its application to fiscal equilibrium in the Dominican Republic

Peter Prazmowski

Applied Economics Letters, 2005, vol. 12, issue 3, 155-160

Abstract: This letter puts forward a recursive version of the Engle and Granger cointegration test, using the Kalman filter, for the analysis of fiscal equilibrium in the Dominican Republic. The method employs a time-varying-coefficient augmented Dickey and Fuller test and finds that government income and spending display movements both toward and away from equilibrium that can be associated to various policy reforms and shocks to the economy.

Date: 2005
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DOI: 10.1080/1350485042000318411

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