Filipe, Martins Luis; Gabriel Vasco J. - In: Studies in Nonlinear Dynamics & Econometrics 17 (2013) 2, pp. 199-209
We derive the conditions under which time-varying cointegration leads to cointegration spaces that may be time-invariant or, in contrast, time-varying. The model of interest is a vector error correction model with arbitrary time-varying cointegration parameters. We clarify the role of...