Time-varying cointegration and the Kalman filter
نویسندگان
چکیده
We show that time-varying parameter state-space models estimated using the Kalman filter are particularly vulnerable to problem of spurious regression, because integrated error is transferr...
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ژورنال
عنوان ژورنال: Econometric reviews
سال: 2021
ISSN: ['1532-4168', '0747-4938']
DOI: https://doi.org/10.1080/07474938.2020.1861776