The RATS Software Forum

Dear Tom/all,

Is there any available code for estimate time varying cointegration with RATS?
Park, Cheolbeom, & Park, Sookyung. (2013). Exchange rate predictability and a monetary model with time-varying cointegration coefficients. Journal of International Money and Finance, 37, 394-410.
Thanks,

Have you contacted the authors?

TomDoan wrote:Have you contacted the authors?

Unfortunately they did not respond.

I would take that as a sign that it's not worth pursuing.