Generalization of a nonparametric co-integration analysis for multivariate integrated processes of an integer order
AbstractThis paper provides a further generalization of co-integration tests in a nonparametric setting. We adopt Bierens' approach in order to give an extension for processes I(d), with a fixed integer d. A generalized eigenvalue problem is solved, and the test statistics involved are obtained starting from two matrices that are independent on the data generating process. The mathematical tools we adopt are related to the asymptotic theory of the stochastic processes. The key point of our work is linked to the distinguishing between the stationary and non-stationary part of an integrated process.
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Bibliographic InfoPaper provided by University of Molise, Dept. EGSeI in its series Economics & Statistics Discussion Papers with number esdp05026.
Length: 12 pages
Date of creation: 12 Jul 2005
Date of revision:
Multivariate analysis; Nonparametric methods; Co-integration; Asymptotic properties.;
Find related papers by JEL classification:
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-07-18 (All new papers)
- NEP-ECM-2005-07-18 (Econometrics)
- NEP-ETS-2005-07-18 (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.:
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- Cerqueti, Roy & Costantini, Mauro, 2005. "Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes," Economics & Statistics Discussion Papers esdp05027, University of Molise, Dept. SEGeS.
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