Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes
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References listed on IDEAS
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More about this item
KeywordsCo-integration; Nonparametric; Differential equations; Asymptotic properties.;
- 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
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
NEP fieldsThis 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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