Chua, Chew Lian; Tsiaplias, Sarantis - Melbourne Institute of Applied Economic and Social … - 2014
A bivariate model that allows for both a time-varying cointegrating matrix and time-varying cointegrating rank is presented. The model addresses the issue that, in real data, the validity of a constant cointegrating relationship may be questionable. The model nests the sub-models implied by...