Time-varying cointegration model using wavelets

da Fonseca, Eder Lucio; Alencar, Airlane Pereira; Morettin, Pedro Alberto

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(Reference retrieved automatically from Web of Science through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

Time-varying cointegration model using wavelets

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Author(s):	da Fonseca, Eder Lucio ^[1] ; Alencar, Airlane Pereira ^[1] ; Morettin, Pedro Alberto ^[1] Total Authors: 3
Affiliation:	^[1] Univ Sao Paulo, Inst Math & Stat, Dept Stat, Sao Paulo, SP - Brazil Total Affiliations: 1
Document type:	Journal article
Source:	Statistics & Probability Letters; v. 145, p. 260-267, FEB 2019.
Web of Science Citations:	0
Abstract
This work proposes a wavelet based Vector Error Correction Model with time-varying cointegration. The maximum likelihood estimators and likelihood ratio statistics were evaluated based on Monte Carlo and Bootstrap simulations. The model was used to study the Purchasing Power Parity hypothesis. (C) 2018 Elsevier B.V. All rights reserved. (AU)

FAPESP's process:	18/04654-9 - Time series, wavelets and high dimensional data
Grantee:	Pedro Alberto Morettin
Support Opportunities:	Research Projects - Thematic Grants

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