Non parametric Fractional Cointegration Analysis
AbstractThis paper provides a theoretical fractional cointegration analysis in a nonparametric framework. We solve a generalized eigenvalues problem. To this end, a couple of random matrices are constructed taking into account the stationarity properties of the differencesof a fractional p-variate integrated process. These difference orders are assumed to vary in a continuous and discrete range. The random matrices are defined by some weight functions. Asymptotic behaviors of these random matrices are obtained by stating some conditions on the weight functions, and by using Bierens (1997) and Andersen et al.(1983) results. In this way, a nonparametric analysis is provided. Moving from the solution of the generalized eigenvalue problem, a fractional nonparametric VAR model for cointegration is also presented.
Download InfoIf 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.
Bibliographic InfoPaper provided by ISTAT - Italian National Institute of Statistics - (Rome, ITALY) in its series ISAE Working Papers with number 78.
Length: 31 pages
Date of creation: Feb 2007
Date of revision:
Fractional integrated process; Nonparametric methods; Cointegration; Asymptotic distribution; Generalized eigenvalues problem.;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-02-24 (All new papers)
- NEP-ECM-2007-02-24 (Econometrics)
- NEP-ETS-2007-02-24 (Econometric Time Series)
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.:
- Francesc Marmol & Carlos Velasco, 2004. "Consistent Testing of Cointegrating Relationships," Econometrica, Econometric Society, vol. 72(6), pages 1809-1844, November.
- Nielsen M.O., 2004.
"Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 22, pages 331-345, July.
- Morten Oerregaard Nielsen, . "Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics," Economics Working Papers 2002-7, School of Economics and Management, University of Aarhus.
- Marmol, Francesc & Escribano, Alvaro & Aparicio, Felipe M., 2002. "Instrumental Variable Interpretation Of Cointegration With Inference Results For Fractional Cointegration," Econometric Theory, Cambridge University Press, vol. 18(03), pages 646-672, June.
- Davidson, James, 2002. "A model of fractional cointegration, and tests for cointegration using the bootstrap," Journal of Econometrics, Elsevier, vol. 110(2), pages 187-212, October.
- 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.
- Breitung, Jorg & Hassler, Uwe, 2002.
"Inference on the cointegration rank in fractionally integrated processes,"
Journal of Econometrics,
Elsevier, vol. 110(2), pages 167-185, October.
- Breitung, Jörg & Hassler, Uwe, 2000. "Inference on the cointegration rank in fractionally integrated processes," SFB 373 Discussion Papers 2000,65, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Joerg Breitung and Uwe Hassler, 2001. "Inference on the Cointegration Rank in Fractionally Integrated Processes," Computing in Economics and Finance 2001 233, Society for Computational Economics.
- Robinson, Peter M. & Yajima, Yoshihiro, 2002.
"Determination of cointegrating rank in fractional systems,"
Journal of Econometrics,
Elsevier, vol. 106(2), pages 217-241, February.
- Peter M Robinson & Yoshihiro Yajima, 2001. "Determination of Cointegrating Rank in Fractional Systems," STICERD - Econometrics Paper Series /2001/423, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Bierens, Herman J., 1997.
"Nonparametric cointegration analysis,"
Journal of Econometrics,
Elsevier, vol. 77(2), pages 379-404, April.
- Jeganathan, P., 1999. "On Asymptotic Inference In Cointegrated Time Series With Fractionally Integrated Errors," Econometric Theory, Cambridge University Press, vol. 15(04), pages 583-621, August.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stefania Rossetti).
If references are entirely missing, you can add them using this form.