A note on generalizing the concept of cointegration

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dc.contributor.author Hall, Stephen G.
dc.contributor.author Swamy, P.A.V.B.
dc.contributor.author Tavlas, George S.
dc.date.accessioned 2016-03-01T12:27:06Z
dc.date.issued 2015-10
dc.description.abstract Building on the time-varying-coefficient (TVC) model, we propose a generalization of the concept of cointegration, allowing for the possibility that a set of variables measured with error entails a nonlinear relationship with unknown functional form. Both the dependent and explanatory variables of this relationship may be nonstationary (not necessarily of unit-root type), but there exists a nonlinear combination of all these explanatory variables that completely explains all the variation in the dependent variable. The TVC model allows us to test for the presence of this generalized cointegration in the absence of knowledge of the true nonlinear functional form and the full set of explanatory variables. We present the basic stages of the technique and discuss in detail how the issues of nonstationarity and cointegration affect each stage of the TVC estimation procedure. en_ZA
dc.description.embargo 2016-03-31
dc.description.librarian hb2015 en_ZA
dc.description.uri http://journals.cambridge.org/action/displayJournal?jid=MDY en_ZA
dc.identifier.citation Hall, SG, Swamy, PAVB & Tavlas, GS 2015, 'A note on generalizing the concept of cointegration', Macroeconomic Dynamics, vol. 19, no. 7, pp. 1633-1646. en_ZA
dc.identifier.issn 1365-1005 (print)
dc.identifier.issn 1469-8056 (online)
dc.identifier.other 10.1017/S1365100513000928
dc.identifier.uri http://hdl.handle.net/2263/51636
dc.language.iso en en_ZA
dc.publisher Cambridge University Press en_ZA
dc.rights © Cambridge University Press 2014 en_ZA
dc.subject Generalized cointegration en_ZA
dc.subject Time-varying-coefficient (TVC) en_ZA
dc.title A note on generalizing the concept of cointegration en_ZA
dc.type Postprint Article en_ZA


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