Time Varying Cointegration (Bierens and Martins, 2010)

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jimdimit
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Joined: Thu Jan 30, 2014 2:25 am

Time Varying Cointegration (Bierens and Martins, 2010)

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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
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