Advanced Search
MyIDEAS: Login

Functional-coefficient cointegration models

Contents:

Author Info

  • Xiao, Zhijie

Abstract

This paper studies estimation and inference of functional coefficient cointegration models. The proposed model offers a more flexible structure of cointegration where the value of cointegrating coefficients may be affected by informative covariates and thus may vary over time. The model may be viewed as a stochastic cointegration model and includes the conventional cointegration model as a special case. The proposed new model provides a useful complement to the conventional fixed coefficient cointegration models. Both kernel and local polynomial estimators are investigated. Inference procedures for instability of cointegrating parameters and a test for cointegration are proposed based on the functional-coefficient estimates. Limiting distributions of the estimates and testing statistics are derived.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6VC0-4VCWG8D-2/2/537d76fa08061c2fe9da43569330c8b9
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 152 (2009)
Issue (Month): 2 (October)
Pages: 81-92

as in new window
Handle: RePEc:eee:econom:v:152:y:2009:i:2:p:81-92

Contact details of provider:
Web page: http://www.elsevier.com/locate/jeconom

Related research

Keywords: Cointegration Local polynomial Nonparametric Time varying Functional coefficients;

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Quintos, Carmela E & Phillips, Peter C B, 1993. "Parameter Constancy in Cointegrating Regressions," Empirical Economics, Springer, vol. 18(4), pages 675-706.
  2. Park, Joon Y. & Hahn, Sang B., 1999. "Cointegrating Regressions With Time Varying Coefficients," Econometric Theory, Cambridge University Press, vol. 15(05), pages 664-703, October.
  3. Xiao, Zhijie, 2009. "Quantile cointegrating regression," Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
  4. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-30, September.
  5. Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
  6. John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation for Research in Economics, Yale University.
  7. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
  8. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(01), pages 1-21, March.
  9. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
  10. Harris, David & McCabe, Brendan & Leybourne, Stephen, 2002. "Stochastic cointegration: estimation and inference," Journal of Econometrics, Elsevier, vol. 111(2), pages 363-384, December.
  11. Xiao, Zhijie & Phillips, Peter C. B., 2002. "A CUSUM test for cointegration using regression residuals," Journal of Econometrics, Elsevier, vol. 108(1), pages 43-61, May.
  12. Diba, Behzad T & Grossman, Herschel I, 1988. "Explosive Rational Bubbles in Stock Prices?," American Economic Review, American Economic Association, vol. 78(3), pages 520-30, June.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Ioannis Kasparis & Peter C. B. Phillips, 2009. "Dynamic Misspecification in Nonparametric Cointegrating Regression," University of Cyprus Working Papers in Economics 2-2009, University of Cyprus Department of Economics.
  2. Pitarakis, Jean-Yves, 2012. "Functional cointegration: definition and nonparametric estimation," MPRA Paper 38846, University Library of Munich, Germany.
  3. repec:wyi:journl:002203 is not listed on IDEAS
  4. Jingping Gu & Paula Hernandez-Verme, 2009. "A Semiparametric Time Trend Varying Coefficients Model: With An Application to Evaluate Credit Rationing in U.S. Credit Market," Department of Economics and Finance Working Papers EM200902, Universidad de Guanajuato, Department of Economics and Finance.
  5. Chaohua Dong & Jiti Gao & Dag Tjostheim & Jiying Yin, 2014. "Specification Testing for Nonlinear Multivariate Cointegrating Regressions," Monash Econometrics and Business Statistics Working Papers 8/14, Monash University, Department of Econometrics and Business Statistics.
  6. repec:wyi:journl:002195 is not listed on IDEAS
  7. repec:wyi:wpaper:002020 is not listed on IDEAS
  8. Liang, Zhongwen & Li, Qi, 2012. "Functional coefficient regression models with time trend," Journal of Econometrics, Elsevier, vol. 170(1), pages 15-31.
  9. Haiqiang Chen, 2013. "Robust Estimation and Inference for Threshold Models with Integrated Regressors," SFB 649 Discussion Papers SFB649DP2013-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  10. repec:wyi:journl:002112 is not listed on IDEAS
  11. repec:wyi:wpaper:002206 is not listed on IDEAS
  12. Li, Kunpeng & Li, Weiming, 2013. "Estimation of varying coefficient models with time trend and integrated regressors," Economics Letters, Elsevier, vol. 119(1), pages 89-93.
  13. Chaohua Dong & Jiti Gao, 2011. "Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation," Monash Econometrics and Business Statistics Working Papers 19/11, Monash University, Department of Econometrics and Business Statistics.
  14. Thoenes, Stefan, 2011. "Understanding the Determinants of Electricity Prices and the Impact of the German Nuclear Moratorium in 2011," EWI Working Papers 2011-6, Energiewirtschaftliches Institut an der Universitaet zu Koeln.
  15. Chaohua Dong & Jiti Gao, 2013. "Orthogonal Expansion of Levy Process Functionals: Theory and Practice," Monash Econometrics and Business Statistics Working Papers 3/13, Monash University, Department of Econometrics and Business Statistics.
  16. Gu, Jingping & Liang, Zhongwen, 2014. "Testing cointegration relationship in a semiparametric varying coefficient model," Journal of Econometrics, Elsevier, vol. 178(P1), pages 57-70.
  17. Sun, Yiguo & Hsiao, Cheng & Li, Qi, 2011. "Measuring correlations of integrated but not cointegrated variables: A semiparametric approach," Journal of Econometrics, Elsevier, vol. 164(2), pages 252-267, October.
  18. Gan, Li & Hsiao, Cheng & Xu, Shu, 2014. "Model specification test with correlated but not cointegrated variables," Journal of Econometrics, Elsevier, vol. 178(P1), pages 80-85.
  19. Chaohua Dong & Jiti Gao, 2012. "Expansion of Lévy Process Functionals and Its Application in Statistical Estimation," Monash Econometrics and Business Statistics Working Papers 2/12, Monash University, Department of Econometrics and Business Statistics.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:152:y:2009:i:2:p:81-92. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.