Skip to main content Accessibility help
×
Home

COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS

  • Joon Y. Park (a1) and Sang B. Hahn (a1)

Abstract

This paper considers cointegrating regressions with time varying coefficients. The coefficients are modeled as smooth functions evolving over time. It is shown that they can be estimated nonparametrically, using suitably modified series estimators. Presented is the efficient method of estimation, which relies on simple prefiltering of the data and preestimation of the model. The test for the adequacy of model specification is also developed. Our model and statistical methods are applied to analyze the U.S. automobile demand function.

Copyright

Corresponding author

Address correspondence to Joon Y. Park, Division of Economics, College of Social Sciences, Seoul National University, Seoul 151-742, Korea.

COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS

  • Joon Y. Park (a1) and Sang B. Hahn (a1)

Metrics

Full text views

Total number of HTML views: 0
Total number of PDF views: 0 *
Loading metrics...

Abstract views

Total abstract views: 0 *
Loading metrics...

* Views captured on Cambridge Core between <date>. This data will be updated every 24 hours.

Usage data cannot currently be displayed