An Introduction to Time-Varying Parameter Cointegration

Granger, Clive W. J.; Lee, Hahn S.

doi:10.1007/978-3-662-06824-3_10

Cited by 16 publications

(10 citation statements)

References 4 publications

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“…The motivation behind such a notion of cointegration derives from the economically plausible situation where long-run components of variables obey equilibrium constraints, but these constraints are time-varying as a result of changes in taste, technology, or economic policy (see also Lee, 1991, andHansen, 1996, for analyses along similar lines). We argue that a promising approach is to allow the parameters of the cointegrating relationship to undergo occasional discrete changes, as in the Markov-switching models of Goldfeld and Quandt (1973), Cosslett and Lee (1985) and Hamilton (1989).…”

Section: Introductionmentioning

confidence: 99%

Cointegration and Changes in Regime: The Japanese Consumption Function

1997

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Section: Introductionmentioning

confidence: 99%

Cointegration and Changes in Regime: The Japanese Consumption Function

1997

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“…Closer integration may lead to stronger competition, 3 making it more costly to be out of the long-run equilibrium, but leaving the long-run equilibrium unchanged. In testing the effects of the SMP, we follow suggestions in Granger and Lee (1991), who extend the idea of cointegration by introducing time-varying parameter error correction models. The speed of adjustment is one such parameter that could vary over time (see Burgess, 1992) or could be non-symmetric (see Granger and Lee, 1991).…”

mentioning

confidence: 99%

European Integration and Manufactures Import Demand: An Empirical Investigation of Ten European Countries

Barrell

Velde

2002

German Economic Review

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This paper studies import demand in ten European countries over the period 1970-95, and our objective is to investigate whether the process of European integration has affected imports. We provide evidence for parametric change in traditional import demand equations, suggesting that important variables or structural factors are missing from the long-run equations. We present equations based on new trade theory, where effects of technology and foreign direct investment are present. Once we include these there is little evidence that the creation of the Single Market has directly increased aggregated imports in European countries. Copyright Verein fü Socialpolitik and Blackwell Publishers Ltd 2002.

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“…The details of the associated problems are complex and discussed in the literature cited in a recent survey paper by Campbell and Perron (1991). Some of these implications were anticipated by Granger and Lee (1991) and Granger (1993). One problem concerns the nearobservational equivalence of the difference-stationary process and stationary process with a near unit root on the one hand and the difference-stationary and breaking-trendstationary processes on the other.…”

Section: H* : Yt = Al + Bit + (Ala)dut + (Blb)dtt + Et (3)mentioning

confidence: 99%

The Trend Behavior of Alternative Income Inequality Measures in the United States from 1947-1990 and the Structural Break

Raj¹,

Slottje²

1994

Journal of Business & Economic Statistics

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JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new forms of scholarship. For more information about JSTOR, please contact support@jstor.org.. American Statistical Association is collaborating with JSTOR to digitize, preserve and extend access to Journal of Business &Economic Statistics.This article tests the hypothesis that the time series process of income inequality has experienced a structural break. The timing of the structural break is treated as an unknown parameter to be estimated from the data because it is not possible to associate a single episodic policy event with the break year and to avoid bias in favor of a unit-root hypothesis if the break was near the selected year. For several measures of income inequality a segmented trend model is more appropriate to account for the fundamentals affecting the behavior of income inequality as opposed to a stochastic trend model.

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An Introduction to Time-Varying Parameter Cointegration

Cited by 16 publications

References 4 publications

Cointegration and Changes in Regime: The Japanese Consumption Function

Cointegration and Changes in Regime: The Japanese Consumption Function

European Integration and Manufactures Import Demand: An Empirical Investigation of Ten European Countries

The Trend Behavior of Alternative Income Inequality Measures in the United States from 1947-1990 and the Structural Break

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