Kim, Chang Sik; Park, Joon - In: Econometric Reviews 29 (2010) 4, pp. 397-438
This article considers the cointegrating regression with errors whose variances change smoothly over time. The model can be used to describe a long-run cointegrating relationship, the tightness of which varies along with time. Heteroskedasticity in the errors is modeled nonparametrically and is...