Time Series Analysis: Method and Substance Introductory Workshop on Time Series Analysis

Advanced Topics: Cointegration

• Then an ECM is estimated using the lagged residuals from previous step (et-1) as instruments for the long run equilibrium term.
• We can use ECM representations, though, even if all variables are I(0) (DeBoef and Keele 2008).

Advanced Topics: Time Varying Parameter (TVP) Models

• Theory might suggest that the effect of Xt on Yt is not constant over time.
• In my research, for example, I hypothesize that the effect of democracy on war is getting stronger and more negative (pacific) over time.
• If this is true, estimating a single parameter across a 200 year time period is problematic.