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time-varying cointegration

Posted: Mon Jul 17, 2017 2:05 pm
by ege_man
Dear
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.

Re: time-varying cointegration

Posted: Mon Jul 17, 2017 4:14 pm
by EViews Mirza
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.