time-varying cointegration

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time-varying cointegration

Postby ege_man » Mon Jul 17, 2017 2:05 pm

Is there any available code for the following referenced paper?

Park, Joon Y. and Hahn, Sang B., 1999. Cointegrating Regressions With Time Varying Coefficients, Econometric Theory, 15(05), 664-703.

EViews Mirza
Posts: 49
Joined: Sat Apr 22, 2017 8:23 pm

Re: time-varying cointegration

Postby EViews Mirza » Mon Jul 17, 2017 4:14 pm

At the moment, time-varying nonstationary estimation is not something that is directly supported, but a custom code using kernel weighting can be programmed in EViews. Eventually, we hope to implement native estimation procedures of the type you've mentioned here.

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