Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes
AbstractThe 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.
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 University of Molise, Dept. EGSeI in its series Economics & Statistics Discussion Papers with number esdp05027.
Length: 17 pages
Date of creation: 09 Sep 2005
Date of revision:
Co-integration; Nonparametric; Differential equations; 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
- 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-2005-09-29 (All new papers)
- NEP-ECM-2005-09-29 (Econometrics)
- NEP-ETS-2005-09-29 (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.:
- Søren Johansen & Katarina Juselius, 1992.
"Identification of the Long-Run and the Short-Run Structure: An Application to the ISLM Model,"
92-04, University of Copenhagen. Department of Economics.
- 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.
- Anindya Banerjee & Lynne Cockerell & Bill Russell, 2000.
"An I(2) Analysis of Inflation and the Markup,"
Dundee Discussion Papers in Economics
120, Economic Studies, University of Dundee.
- Rahbek, Anders & Christian Kongsted, Hans & Jorgensen, Clara, 1999.
"Trend stationarity in the I(2) cointegration model,"
Journal of Econometrics,
Elsevier, vol. 90(2), pages 265-289, June.
- Clara Jørgensen & Hans Christian Kongsted & Anders Rahbek, 1996. "Trend-Stationarity in the I(2) Cointegration Model," Discussion Papers 96-12, University of Copenhagen. Department of Economics.
- Peter C.B. Phillips, 1988.
"Optimal Inference in Cointegrated Systems,"
Cowles Foundation Discussion Papers
866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
- Bierens, H.J., 1995.
"Nonparametric cointegration analysis,"
1995-123, Tilburg University, Center for Economic Research.
- Paruolo, Paolo, 1996. "On the determination of integration indices in I(2) systems," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 313-356.
- Phillips, P C B, 1987.
"Time Series Regression with a Unit Root,"
Econometric Society, vol. 55(2), pages 277-301, March.
- Peter C.B. Phillips, 1985. "Time Series Regression with a Unit Root," Cowles Foundation Discussion Papers 740R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1986.
- Tom Doan, . "PPUNIT: RATS procedure to perform Phillips-Perron Unit Root test," Statistical Software Components RTS00160, Boston College Department of Economics.
- 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. EGSeI.
- 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.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Claudio Lupi).
If references are entirely missing, you can add them using this form.