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Nonparametric cointegration analysis

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  • Bierens, Herman J.

Abstract

In this paper we propose consistent cointegration tests, and estimators of a basis of the space of cointegrating vectors, that do not need specification of the data-generating process, apart from some mild regularity conditions, or estimation of structural and/or nuisance parameters. This nonparametric approach is in the same spirit as Johansen s LR method in that the test statistics involved are obtained from the solutions of a generalized eigenvalue problem, and the hypotheses to be tested are the same, but in our case the two matrices in the generalized eigenvalue problem involved are constructed independently of the data-generating process. We compare our approach empirically as well as by a limited Monte Carlo simulation with Johansen s approach, using the series for ln(wages) and ln(GNP) from the extende

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 77 (1997)
Issue (Month): 2 (April)
Pages: 379-404

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Handle: RePEc:eee:econom:v:77:y:1997:i:2:p:379-404

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Web page: http://www.elsevier.com/locate/jeconom

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  1. Boswijk, H. Peter, 1995. "Efficient inference on cointegration parameters in structural error correction models," Journal of Econometrics, Elsevier, vol. 69(1), pages 133-158, September.
  2. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
  3. Engle, R.F. & Yoo, B.S., 1989. "Cointegrated Economic Time Series: A Survey With New Results," Papers 8-89-13, Pennsylvania State - Department of Economics.
  4. Bierens, Herman J., 1993. "Higher-order sample autocorrelations and the unit root hypothesis," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 137-160.
  5. 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.
  6. Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers 847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
  7. Bierens,Herman J., 1996. "Topics in Advanced Econometrics," Cambridge Books, Cambridge University Press, number 9780521565110, December.
  8. Peter C. Schotman & Herman K. van Dijk, 1991. "On Bayesian routes to unit roots," Discussion Paper / Institute for Empirical Macroeconomics 43, Federal Reserve Bank of Minneapolis.
  9. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
  10. Peter Boswijk, H., 1994. "Testing for an unstable root in conditional and structural error correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 37-60, July.
  11. Toda, Hiro Y, 1994. "Finite Sample Properties of Likelihood Ratio Tests for Cointegrating Ranks when Linear Trends are Present," The Review of Economics and Statistics, MIT Press, vol. 76(1), pages 66-79, February.
  12. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  13. Perron, Pierre & Campbell, John Y, 1993. "A Note on Johansen's Cointegration Procedure When Trends Are Present," Empirical Economics, Springer, vol. 18(4), pages 777-89.
  14. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
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