Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To better capture the dynamics, this paper introduces a new class of time-varying VAR models in which the coefficients...

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...

Empirical growth analysis is plagued with three problems — variable selection, parameter heterogeneity and cross-sectional dependence — which are addressed independently from each other in most studies. The purpose of this study is to pro- pose an integrated framework that extends the...

Despite its paramount importance in the empirical growth literature, productivity convergence analysis has three problems that have yet to be resolved: (1) little attempt has been made to explore the hierarchical structure of industry-level datasets; (2) industry-level technology heterogeneity...