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Stabilization of the Time-variant Cointegrating Relations
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 Title & Authors
Stabilization of the Time-variant Cointegrating Relations
Kim, Tae-Ho; Park, Ji-Won;
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 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;
 Language
Korean
 Cited by
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