Time Varying Cointegration (Bierens and Martins, 2010)
Posted: Thu Feb 13, 2014 5:15 am
I am looking for code on time varying cointegration of Bierens and Martins (2010).
Thank you,
Dimitris
Herman J. Bierensa1and Luis F. Martins, 2010. "Time varying cointegration", Econometric Theory, 26, 1453-1490.
http://econ.la.psu.edu/~hbierens/TVCOINT.PDF
http://econ.la.psu.edu/~hbierens/TVCOINT_APPENDIX.PDF
Thank you,
Dimitris
Herman J. Bierensa1and Luis F. Martins, 2010. "Time varying cointegration", Econometric Theory, 26, 1453-1490.
http://econ.la.psu.edu/~hbierens/TVCOINT.PDF
http://econ.la.psu.edu/~hbierens/TVCOINT_APPENDIX.PDF