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A recursive cointegration test using the Kalman filter and its application to fiscal equilibrium in the Dominican Republic

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  • Peter Prazmowski

Abstract

This letter puts forward a recursive version of the Engle and Granger cointegration test, using the Kalman filter, for the analysis of fiscal equilibrium in the Dominican Republic. The method employs a time-varying-coefficient augmented Dickey and Fuller test and finds that government income and spending display movements both toward and away from equilibrium that can be associated to various policy reforms and shocks to the economy.

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  • Peter Prazmowski, 2005. "A recursive cointegration test using the Kalman filter and its application to fiscal equilibrium in the Dominican Republic," Applied Economics Letters, Taylor & Francis Journals, vol. 12(3), pages 155-160.
    • Handle: RePEc:taf:apeclt:v:12:y:2005:i:3:p:155-160
    DOI: 10.1080/1350485042000318411
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    Cited by:

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    2. Anne Neumann & Boriss Siliverstovs & Christian von Hirschhausen, 2006. "Convergence of European spot market prices for natural gas? A real-time analysis of market integration using the Kalman Filter," Applied Economics Letters, Taylor & Francis Journals, vol. 13(11), pages 727-732.

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