arXiv 28 May 2023 · Econometrics · publishedJournal of Econometrics (2025) · 3 citations (OpenAlex)
arXiv:2305.17829 · PDF · DOI · OpenAlex · Extracted main text
This paper considers a time-varying vector error-correction model that allows for different time series behaviours (e.g., unit-root and locally stationary processes) to interact with each other to co-exist. From practical perspectives, this framework can be used to estimate shifts in the predictability of non-stationary variables, test whether economic theories hold periodically, etc. We first develop a time-varying Granger Representation Theorem, which facilitates the establishment of asymptotic properties for the model, and then propose estimation and inferential methods and theory for both short-run and long-run coefficients. We also propose an information criterion to estimate the lag length, a singular-value ratio test to determine the cointegration rank, and a hypothesis test to examine the parameter stability. To validate the theoretical findings, we conduct extensive simulations. Finally, we demonstrate the empirical relevance by applying the framework to investigate the rational expectations hypothesis of the U.S. term structure.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Andreasen, Engsted, Mller \ Sander (2021) `The yield spread and bond return predictability in expansions and recessions', The Review of Financial Studies 34(6), 2773–2812 | 0.874 | 5 | 2 | 100% |
| 2 | Hansen (2003) `Structural changes in the cointegrated vector autoregressive model', Journal of Econometrics 114(2), 261–295 | 0.811 | 4 | 2 | 100% |
| 3 | Campbell \ Shiller (1987) `Cointegration and tests of present value models', Journal of Political Economy 95(5), 1062–1088 | 0.737 | 3 | 2 | 100% |
| 4 | Hansen \ Seo (2002) `Testing for two-regime threshold cointegration in vector error-correction models', Journal of Econometrics 110(2), 293–318 | 0.737 | 3 | 2 | 100% |
| 5 | Borup, Eriksen, Kjr \ Thyrsgaard (2021) `Predicting bond return predictability', Available at SSRN 3513340 | 0.644 | 4 | 1 | 100% |
| 6 | Bauer \ Rudebusch (2020) `Interest rates under falling stars', The American Economic Review 110(5), 1316–54 | 0.644 | 2 | 2 | 100% |
| 7 | Dahlhaus \ Polonik (2009) `Empirical spectral processes for locally stationary time series', Bernoulli 15(1), 1–39 | 0.511 | 2 | 2 | 50% |
| 8 | Truquet (2017) `Parameter stability and semiparametric inference in time varying auto-regressive conditional heteroscedasticity models', Journa… | 0.511 | 2 | 2 | 50% |
| 9 | Zhang \ Wu (2012) `Inference of time-varying regression models', The Annals of Statistics 40(3), 1376–1402 | 0.511 | 2 | 2 | 50% |
| 10 | Benati, Lucas Jr, Nicolini \ Weber (2021) `International evidence on long-run money demand', Journal of Monetary Economics 117, 43–63 | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 38 scored citations.