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

Structural changes often occur in economics and finance due to preferences, technologies, institutional arrangements, policies, crises, etc. Improving forecast accuracy of economic time series with structural is a long-standing problem. Model averaging aims at providing an insurance against selecting poor model. All existing model approaches the literature are designed constant (non-time-varyin...