Generalization of a nonparametric co-integration analysis for multivariate integrated processes of an integer order
This 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.
|Date of creation:||12 Jul 2005|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.unimol.it
More information through EDIRC
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.:
- Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Phillips, P C B, 1991.
"Optimal Inference in Cointegrated Systems,"
Econometric Society, vol. 59(2), pages 283-306, March.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
- Bierens, H.J., 1995.
"Nonparametric cointegration analysis,"
1995-123, Tilburg University, Center for Economic Research.
- Stock, James H & Watson, Mark W, 1993.
"A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems,"
Econometric Society, vol. 61(4), pages 783-820, July.
- Tom Doan, . "SWDOLS: RATS procedure to estimate cointegrating vectors using dynamic OLS," Statistical Software Components RTS00207, Boston College Department of Economics.
- James H. Stock & Mark W. Watson, 1991. "A simple estimator of cointegrating vectors in higher order integrated systems," Working Paper Series, Macroeconomic Issues 91-3, Federal Reserve Bank of Chicago.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- 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.
When requesting a correction, please mention this item's handle: RePEc:mol:ecsdps:esdp05026. See general information about how to correct material in RePEc.
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.