This paper proposes an alternative estimation method for cointegration, which allows for variation in the leads and lags in the cointegration relation. The method is more powerful than a standard method. Illustrations to annual inflation rates for Japan and the USA and to seasonal cointegration for quarterly consumption and income in Japan shows its ease of use and empirical merits.

Cointegration, Estimation, Lags, Leads
Time-Series Models; Dynamic Quantile Regressions (jel C32), Model Construction and Estimation (jel C51)
dx.doi.org/10.1016/j.cam.2020.113272, hdl.handle.net/1765/134051
Journal of Computational and Applied Mathematics
Department of Econometrics

Franses, Ph.H.B.F. (2021). Time-varying lag cointegration. Journal of Computational and Applied Mathematics, 390. doi:10.1016/j.cam.2020.113272