Time-varying cointegration and the Kalman filter
Year of publication: |
2022
|
---|---|
Authors: | Eroğlu, Burak Alparslan ; Miller, J. Isaac ; Yigit, Taner M. |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 41.2022, 1, p. 1-21
|
Subject: | Climate change | Kalman filter | spurious regression | time-varying cointegration | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Klimawandel | Theorie | Theory |
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