Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes

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Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes

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Cerqueti, Roy
Costantini, Mauro ()

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Abstract

The aim of this paper is to provide a new perspective on the nonparametric co-integration analysis for integrated processes of the second order. Our analysis focus on a pair of random matrices related to such integrated process. Such matrices are constructed by introducing some weight functions. Under asymptotic conditions on such weights, convergence results in distribution are obtained. Therefore, a generalized eigenvalue problem is solved. Differential equations and stochastic calculus theory are used.

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Paper provided by University of Molise, Dept. SEGeS in its series Economics & Statistics Discussion Papers with number esdp05027.

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Length: 17 pages
Date of creation: 09 Sep 2005
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Handle: RePEc:mol:ecsdps:esdp05027

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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C65 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Miscellaneous Mathematical Tools

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-09-29 (All new papers)
NEP-ECM-2005-09-29 (Econometrics)
NEP-ETS-2005-09-29 (Econometric Time Series)

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Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March. [Downloadable!] (restricted)
Other versions:
- Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation, Yale University, revised Feb 1986. [Downloadable!]
Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)
Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March. [Downloadable!] (restricted)
Other versions:
- Peter C.B. Phillips, 1988. "Optimal Inference in Cointegrated Systems," Cowles Foundation Discussion Papers 866R, Cowles Foundation, Yale University, revised Aug 1989. [Downloadable!]
Cerqueti, Roy & Costantini, Mauro, 2005. "Generalization of a nonparametric co-integration analysis for multivariate integrated processes of an integer order," Economics & Statistics Discussion Papers esdp05026, University of Molise, Dept. SEGeS. [Downloadable!]
Johansen, Soren & Juselius, Katarina, 1994. "Identification of the long-run and the short-run structure an application to the ISLM model," Journal of Econometrics, Elsevier, vol. 63(1), pages 7-36, July. [Downloadable!] (restricted)
Other versions:
- Søren Johansen & Katarina Juselius, 1992. "Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model," Discussion Papers 92-04, University of Copenhagen. Department of Economics.
Paruolo, Paolo, 1996. "On the determination of integration indices in I(2) systems," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 313-356. [Downloadable!] (restricted)
Bierens, Herman J., 1997. "Nonparametric cointegration analysis," Journal of Econometrics, Elsevier, vol. 77(2), pages 379-404, April. [Downloadable!] (restricted)
Other versions:
- Bierens, H., 1995. "Nonparametric cointegration analysis," Discussion Paper 123, Tilburg University, Center for Economic Research. [Downloadable!]
Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)

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