Time-varying VECM

[lnw]

Hello all:

Is there any proc available that allows me to estimate the time-varying VECM?

Thank you.

[TomDoan]

Hello all:

Is there any proc available that allows me to estimate the time-varying VECM?

Thank you.

Which time-varying VECM?

[lnw]

Hello Tom:

I read a paper by Gary Koop et al. (2008) ("Bayesian Inference in the Time Varying Cointegration Model") in which they show the method for estimating a VECM. I'm wondering if there is a prog. available or could you show me a bit how to do it.

Thank you very much.