Time-varying cointegration with an application to the UK Great Ratios

George Kapetanios, Stephen Millard, Katerina Petrova, Simon Price*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

We build on an estimation method which can accommodate time variation in a cointegrating relationship and present a test for cointegration under this setup. We apply our test procedure to the UK Great Ratios and find little evidence for cointegration when the parameters are assumed constant, but strong evidence when allowing them to drift slowly over time.

Original languageEnglish
Article number109213
JournalECONOMICS LETTERS
Volume193
DOIs
Publication statusPublished - Aug 2020

Keywords

  • Cointegration
  • Great Ratios
  • Time variation

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