Nonparametric Nonlinear Cotrending Analysis, with an Application to Interest and Inflation in the United States

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Nonparametric Nonlinear Cotrending Analysis, with an Application to Interest and Inflation in the United States

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Bierens, Herman J

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Herman J. Bierens

Abstract

Given the assumption that the components of a vector time series are stationary around nonlinear deterministic time trends, nonlinear cotrending is the phenomenon that one or more linear combinations of the time series are stationary around a linear trend or a constant; hence, the series have common nonlinear deterministic time trends. In this article, I develop nonparametric tests for nonlinear cotrending, and I derive nonparametric estimators of the cotrending vectors. I apply this approach to the federal funds rate and the consumer price index inflation rate in the United States, using monthly data, to analyze the price puzzle.

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Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 18 (2000)
Issue (Month): 3 (July)
Pages: 323-37
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Handle: RePEc:bes:jnlbes:v:18:y:2000:i:3:p:323-37

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