Time-varying cointegration and the Kalman filter

Simple item page
dc.contributor.authorEroğlu, Burak Alparslan
dc.date.accessioned2021-06-29T12:04:07Z
dc.date.available2021-06-29T12:04:07Z
dc.date.issued2020
dc.description.abstractWe show that time-varying parameter state-space models estimated using the Kalman filter are particularly vulnerable to the problem of spurious regression, because the integrated error is transferred to the estimated state equation. We offer a simple yet effective methodology to reliably recover the instability in cointegrating vectors. In the process, the proposed methodology successfully distinguishes between the cases of no cointegration, fixed cointegration, and time-varying cointegration. We apply these proposed tests to elucidate the relationship between concentrations of greenhouse gases and global temperatures, an important relationship to both climate scientists and economists.en_US
dc.fullTextLevelFull Texten_US
dc.identifier.doi10.1080/07474938.2020.1861776
dc.identifier.issn0747-4938
dc.identifier.scopus2-s2.0-85099466636en_US
dc.identifier.urihttps://hdl.handle.net/11411/3908
dc.identifier.urihttps://doi.org/10.1080/07474938.2020.1861776
dc.identifier.wosWOS:000607701900001en_US
dc.identifier.wosqualityQ1en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.nationalInternationalen_US
dc.numberofauthors3en_US
dc.pages44197en_US
dc.publisherBellwether Publishing, Ltd.en_US
dc.relation.ispartofEconometric Reviewsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.snmz20240718_Mükerrer
dc.subjectClimate changeen_US
dc.subjectKalman filteren_US
dc.subjectspurious regressionen_US
dc.subjecttime-varying cointegrationen_US
dc.titleTime-varying cointegration and the Kalman filter
dc.typeArticle

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
2020Eroglu.pdf
Size:
1.91 MB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Faculty of Business
Scopus Indexed Publications
Web of Science Indexed Publications

We collect and process your personal information for the following purposes: Authentication, Preferences, Acknowledgement and Statistics.
To learn more, please read our about.

Customize