Time-varying lag cointegration
نویسندگان
چکیده
Abstract This paper proposes an alternative estimation method for cointegration, which allows variation in the leads and lags cointegration relation. The is more powerful than a standard method. Illustrations to annual inflation rates Japan USA seasonal quarterly consumption income shows its ease of use empirical merits.
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2021
ISSN: ['0377-0427', '1879-1778', '0771-050X']
DOI: https://doi.org/10.1016/j.cam.2020.113272