IDEAS home Printed from https://ideas.repec.org/p/snu/ioerwp/no8.html
   My bibliography  Save this paper

Longrun Relationships Evolving Over Time

Author

Listed:
  • Joon Y. Park

    ()

  • Jonghan park

Abstract

This paper considers the cointegrating regression with errors whose variances change smoothly over time. The model can be used to describe a longrun cointegrating relationship, the tightness of which varies along with time. Heteroskedasticity in the errors is modelled nonparametrically and is assumed to be generated by a smooth function. We show that it can be consistently estimated by the kernel method. Given consistent estimates for error variances, the cointegrating relationship can be efficiently estimted by the usual GLS correction for heteroskedastic errors. It is shown that the US money demand function, both for M1 and M2, is well fitted to such a cointegrating model with growing variance. Moreover, we found that the bilateral purchasing power parities among many industrialized countries including the US, Germany, Japan, Canada, and the UK have been changed somewhat conspicuously over the past twenty years. They all had been monotonically loosened in the 70's and 80's, but most of them became tightened in the 90's.

Suggested Citation

  • Joon Y. Park & Jonghan park, 1999. "Longrun Relationships Evolving Over Time," Working Paper Series no8, Institute of Economic Research, Seoul National University.
  • Handle: RePEc:snu:ioerwp:no8
    as

    Download full text from publisher

    File URL: http://econ.snu.ac.kr/~ecores/activity/paper/no8.pdf
    Download Restriction: no

    More about this item

    Keywords

    Cointegrating Regression; Time Heterogeneity; Kernel Estimation; GLS Correction for Heteroskedasticity;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:snu:ioerwp:no8. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Seo seung-Hee). General contact details of provider: http://edirc.repec.org/data/iesnukr.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.