Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney W. - Rimini Centre for Economic Analysis (RCEA) - 2008
cointegration. This is despite the fact that cointegration plays an important role in informing macroeconomists on a range of issues …. In this paper we develop time varying parameter models which permit cointegration. Time-varying parameter VARs (TVP … to use straightforward extensions of TVP-VARs when allowing for cointegration. Instead we develop a specication which …