Nonparametric cointegration analysis
AbstractIn 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 InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 1995-123.
Date of creation: 1995
Date of revision:
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Web page: http://center.uvt.nl
Statistical Methods; cointegration; unit root; Testing; statistics;
Other versions of this item:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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