Xiao, Zhijie - Department of Economics, Boston College - 2009
. In addition, a new cointegration model with varying coefficients is proposed. In the proposed model, the value of … viewed as a stochastic cointegration model which includes the conventional cointegration model as a special case. It also … provides a useful complement to cointegration models with (G)ARCH effects. Asymptotic properties of the proposed model and …