Park & Hahn (1999) time varying cointegration

[ege_man]

Dear Tom,
I am looking for the code of the following paper. Is there any available code for estimating time varying cointegration with RATS?

Park, Joon Y. & Hahn, Sang B., 1999. "Cointegrating Regressions With Time Varying Coefficients," Econometric Theory, Cambridge University Press, vol. 15(05), pages 664-703, October.

[ege_man]

The following paper of the same author also uses the same methodology.
Sung Y. Park Guochang Zhao "An estimation of U.S. gasoline demand: A smooth time-varying cointegration approach"Energy Economics 32 (2010) 110–120.

[TomDoan]

Have you gotten the data set for either one from the authors?

[ege_man]

Dear Tom,
I don't have the origimal data, but I attached the data of my study aiming to analyze the determinants of electricity prices, based on the model (3) in the following paper.
Thanks for your help in advance.

Mohammadi, Hassan (2009) Electricity prices and fuelcosts: Long-runrelations and short-rundynamics. Energy Economics 31(2009) 503–509.

[TomDoan]

You need to get a data set from a published paper that uses the technique.

[ege_man]

Dear Tom,
The original data are available at WRDS https://wrds-web.wharton.upenn.edu/wrds/, but my university does not have subscription for this database. I have e-mailed authors in order to get the data and estimation codes of the both papers but have not get any response.
The first paper Park & Hahn(1999) published in Econometric Theory uses the same data with Example 4.1 and 4.3 of the Pindyck and Rubinfeld (1991) textbook, but the sample period employed in the paper is little bit different. The replication files are also available in the RATS textbook example file folder.
Best Regards

[TomDoan]

This is a 15 year old paper with a very thin set of citations, most of which seem to be pro forma literature review citations rather than direct uses of the technique. That's usually a sign that it's not worth pursuing. If you want to try to implement it, we can help, but it's not something that we would undertake ourselves, particularly if the authors aren't willing/able to provide the original data and program.