Initial implementation of the Time Varying Cointegration (Bierens and Martins (2010))[1], ported from gauss code provided by Luis Filipe Martins [2,3].
[1] http://journals.cambridge.org/action/displayAbstract?fromPage=online&aid=7881771
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R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
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