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.
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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)
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