Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5059220 | Economics Letters | 2014 | 4 Pages |
Abstract
In this paper we extend the FMLS-based CUSUM cointegration test (Xiao and Phillips, 2002) for testing the smooth time-varying cointegration null hypothesis. For this purpose we use Chebyshev time polynomials to specify time-varying coefficients under the null. We derive the limiting distribution of the statistic, which is pivotal with the order of the Chebyshev time polynomials, and we provide the critical values to conduct the proposed test.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
David Neto,