TIME-VARYING COINTEGRATION
提出一个时变向量误差修正模型，允许协整关系随时间平滑变化，并推导了检验时不变协整的似然比检验及其渐近分布，应用于购买力平价假说发现存在时变协整。
In this paper we propose a time-varying vector error correction model in which the cointegrating relationship varies smoothly over time. The Johansen setup is a special case of our model. A likelihood ratio test for time-invariant cointegration is defined and its asymptotic chi-square distribution is derived. We apply our test to the purchasing power parity hypothesis of international prices and nominal exchange rates, and we find evidence of time-varying cointegration.