Time-varying lag cointegration

Philip Hans Franses*

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

1 Citation (Scopus)


This paper proposes an alternative estimation method for cointegration, which allows for variation in the leads and lags in the cointegration relation. The method is more powerful than a standard method. Illustrations to annual inflation rates for Japan and the USA and to seasonal cointegration for quarterly consumption and income in Japan shows its ease of use and empirical merits.

Original languageEnglish
Article number113272
JournalJournal of Computational and Applied Mathematics
Publication statusPublished - 1 Jul 2021

Bibliographical note

JEL classification: C32, C51

Publisher Copyright:
© 2021 The Author


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