Neto, David - In: Economics Letters 125 (2014) 2, pp. 208-211
-varying cointegration null hypothesis. For this purpose we use Chebyshev time polynomials to specify time-varying coefficients under the … null. We derive the limiting distribution of the statistic, which is pivotal with the order of the Chebyshev time … polynomials, and we provide the critical values to conduct the proposed test. …
