Time-varying lag cointegration

Franses, PH

Franses, PH (corresponding author), Erasmus Sch Econ, Inst Econometr, POB 1738, NL-3000 DR Rotterdam, Netherlands.

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2021; 390 ():

Abstract

This paper proposes an alternative estimation method for cointegration, which allows for variation in the leads and lags in the cointegration relation......

Full Text Link