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• W1588644181 abstract "There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved vector autoregressions (VARs), ignoring cointegration. This is despite the fact that cointegration plays an important role in informing macroeconomists on a range of issues. In this paper, we develop a new time varying parameter model which permits cointegration. We use a specification which allows for the cointegrating space to evolve over time in a manner comparable to the random walk variation used with TVP–VARs. The properties of our approach are investigated before developing a method of posterior simulation. We use our methods in an empirical investigation involving the Fisher effect." @default.
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• W1588644181 date "2011-12-01" @default.
• W1588644181 modified "2023-10-03" @default.
• W1588644181 title "Bayesian inference in a time varying cointegration model" @default.
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• W1588644181 doi "https://doi.org/10.1016/j.jeconom.2011.07.007" @default.
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