Time-varying lag cointegration

Philip Hans Franses*

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

Abstract

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
Volume390
DOIs
Publication statusPublished - 1 Jul 2021

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