Time-varying cointegration model using wavelets
Time-varying cointegration model using wavelets is a scholarly work by Pedro Alberto Morettin, Eder Lucio da Fonseca, and Airlane Pereira Alencar, published in 2019 in ''Statistics and Probability Letters''. The main subjects of the publication include wavelet, macroeconomics, econometrics, cointegration, purchasing power parity, noise reduction, Monte Carlo method, error analysis, statistics, estimator, mathematics, and maximum likelihood estimation. The work proposes a wavelet based Vector Error Correction Model with time-varying cointegration.