Time-varying lag cointegration

Philip Hans Franses

doi:10.1016/j.cam.2020.113272

Time-varying lag cointegration

Philip Hans Franses^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › Academic › peer-review

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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 language	English
Article number	113272
Journal	Journal of Computational and Applied Mathematics
Volume	390
DOIs	https://doi.org/10.1016/j.cam.2020.113272
Publication status	Published - 1 Jul 2021

Bibliographical note

JEL classification: C32, C51

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© 2021 The Author

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10.1016/j.cam.2020.113272

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AB - 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.

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Time-varying lag cointegration

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