A recursive cointegration test using the Kalman filter and its application to fiscal equilibrium in the Dominican Republic

This letter puts forward a recursive version of the Engle and Granger cointegration test, using the Kalman filter, for the analysis of fiscal equilibrium in the Dominican Republic. The method employs a time-varying-coefficient augmented Dickey and Fuller test and finds that government income and spending display movements both toward and away from equilibrium that can be associated to various policy reforms and shocks to the economy.

MoreLess

Year of publication:	2005
Authors:	Prazmowski, Peter
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 12.2005, 3, p. 155-160
Publisher:	Taylor & Francis Journals

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005265448