The RATS Software Forum

Posted: **Tue Jan 01, 2013 12:49 pm**

Dear Tom,
I am looking for the code of the following paper. Is there any available code for estimating time varying cointegration with RATS?

Park, Joon Y. & Hahn, Sang B., 1999. "Cointegrating Regressions With Time Varying Coefficients," Econometric Theory, Cambridge University Press, vol. 15(05), pages 664-703, October.

Posted: **Thu Jan 03, 2013 1:40 pm**

The following paper of the same author also uses the same methodology.
Sung Y. Park Guochang Zhao "An estimation of U.S. gasoline demand: A smooth time-varying cointegration approach"Energy Economics 32 (2010) 110–120.

Posted: **Tue Jan 15, 2013 5:50 pm**

DearTom,
Is there any news from the time-varying cointegration code used in the papers above?

The RATS Software Forum

Park & Hahn (1999) time varying cointegration

Park & Hahn (1999) time varying cointegration

Re: Park & Hahn (1999) time varying cointegration

Re: Park & Hahn (1999) time varying cointegration