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http://dx.doi.org/10.5351/KJAS.2008.21.5.727

Stabilization of the Time-variant Cointegrating Relations  

Kim, Tae-Ho (Dept. of Information Statistics, Chungbuk National University)
Park, Ji-Won (Korea Development Institute(KDI))
Publication Information
The Korean Journal of Applied Statistics / v.21, no.5, 2008 , pp. 727-738 More about this Journal
Abstract
If a cointegrating relation is affected by important economic and political events occurred in the sample period, the assumption of the time-invariant cointegrating vector is violated, which leads to the misrep-resentation of the actual relations between the variables. From such a viewpoint, this study utilizes the recursive estimation process in testing for the stability of the long-run equilibrium of the domestic stock market system and then attempts to develop the framework for stabilizing time-variant cointegraing relations by introducing the dummy variables where the structural changes are found to exist.
Keywords
Linear combination; time-variant cointegration; dummy variable;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
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