time-varying Cointegration

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abi
Posts: 74
Joined: Sat Apr 13, 2013 3:48 am

time-varying Cointegration

Unread post by abi »

Dear Tom/all,

Is there any available code for estimate time varying cointegration with RATS?
Park, Cheolbeom, & Park, Sookyung. (2013). Exchange rate predictability and a monetary model with time-varying cointegration coefficients. Journal of International Money and Finance, 37, 394-410.
Thanks,
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TomDoan
Posts: 7826
Joined: Wed Nov 01, 2006 4:36 pm

Re: time-varying Cointegration

Unread post by TomDoan »

Have you contacted the authors?
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abi
Posts: 74
Joined: Sat Apr 13, 2013 3:48 am

Re: time-varying Cointegration

Unread post by abi »

TomDoan wrote:Have you contacted the authors?
Unfortunately they did not respond.
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TomDoan
Posts: 7826
Joined: Wed Nov 01, 2006 4:36 pm

Re: time-varying Cointegration

Unread post by TomDoan »

I would take that as a sign that it's not worth pursuing.
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