Cointegration with time-varying parameters: literature review

Abstract

This paper reviews the literature devoted to the analysis of cointegrated time series in the economy, where the parameters of cointegration vary over time. The main studies that develop methods for modeling the movement of parameters, different approaches to evaluating the model, as well as tests for cointegration are considered. In addition, the areas of application of cointegration models with time-varying parameters in macroeconomic studies are highlighted.

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