Journal article

A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank

Chew Lian Chua, Sarantis Tsiaplias

Journal of Business and Economic Statistics | AMER STATISTICAL ASSOC | Published : 2018

DOI: 10.1080/07350015.2016.1166117

Keywords

Tvp
Business & Economics
Error-Correction Model
Error Correction Models
Tests
Singular Value Decomposition
Space
Cointegration Tests
Mathematical Methods in Social Sciences
Physical Sciences
Series
Economics
Mathematics
Social Sciences, Mathematical Methods
Regime
Science & Technology
Social Sciences
Statistics & Probability
Shifts