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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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File URL: http://web.unimol.it/progetti/repec/mol/ecsdps/ESDP05027.pdf
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Bibliographic Info

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

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

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Keywords: Co-integration; Nonparametric; Differential equations; Asymptotic properties.;

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  1. Paruolo, Paolo, 1996. "On the determination of integration indices in I(2) systems," Journal of Econometrics, Elsevier, Elsevier, vol. 72(1-2), pages 313-356.
  2. Bierens, Herman J., 1997. "Nonparametric cointegration analysis," Journal of Econometrics, Elsevier, Elsevier, vol. 77(2), pages 379-404, April.
  3. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 277-301, March.
  4. 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, Elsevier, vol. 63(1), pages 7-36, July.
  5. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, Econometric Society, vol. 59(2), pages 283-306, March.
  6. Anindya Banerjee & Lynne Cockerell & Bill Russell, 2001. "An I(2) analysis of inflation and the markup," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 16(3), pages 221-240.
  7. Cerqueti, Roy & Costantini, Mauro, 2005. "Generalization of a nonparametric co-integration analysis for multivariate integrated processes of an integer order," Economics & Statistics Discussion Papers, University of Molise, Dept. EGSeI esdp05026, University of Molise, Dept. EGSeI.
  8. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
  9. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
  10. Rahbek, Anders & Christian Kongsted, Hans & Jorgensen, Clara, 1999. "Trend stationarity in the I(2) cointegration model," Journal of Econometrics, Elsevier, Elsevier, vol. 90(2), pages 265-289, June.
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