Generalization of a nonparametric co-integration analysis for multivariate integrated processes of an integer order
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Cited by:
- 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, Department of Economics.
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More about this item
Keywords
Multivariate analysis; Nonparametric methods; Co-integration; Asymptotic properties.;All these keywords.
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; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2005-07-18 (Econometrics)
- NEP-ETS-2005-07-18 (Econometric Time Series)
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