This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time …-consistency apply in nonparametric kernel estimation of time-varying coefficient cointegration models. The higher rate of convergence (n …

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time …-consistency apply in nonparametric kernel estimation of time-varying coefficient cointegration models. The higher rate of convergence …

There are a number of econometrics tools to deal with the different types of situations in which cointegration can …

There are a number of econometrics tools to deal with the different type of situations in which cointegration can …

and the cointegration rank exactly in the same way as in the standard I(1) cointegration framework of Johansen (1995) and … and Velasco (for cointegration strength >0.5) and Avarucci and Velasco (for cointegration strength <0.5). Therefore our …

and the fractional cointegration vector robust to low frequency contaminations. This estimator as many other local Whittle … based procedures requires a priori knowledge of the cointegration rank. Since low frequency contaminations bias inference on … the cointegration rank, we also provide a robust estimator of the cointegration rank. As both estimators are based on the …

Unit root tests and cointegration tests are sensitive to atypical events as outliers and structural breaks. This paper … uses outlier robust estimation techniques to reduce the impact of these events on cointegration analysis. As a byproduct of … that OLS based cointegration can yield spurious cointegration …