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COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS

Published online by Cambridge University Press:  01 October 1999

Joon Y. Park  and
Sang B. Hahn
Joon Y. Park
Affiliation:
Seoul National University
Sang B. Hahn
Affiliation:
Seoul National University
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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.

Type
Research Article
Information
Econometric Theory , Volume 15 , Issue 5 , October 1999 , pp. 664 - 703
Copyright
© 1999 Cambridge University Press

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