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Please use this identifier to cite or link to this item: http://hdl.handle.net/2192/96

 
Title: Generalization of a nonparametric co-integration analysis for multivariate integrated processes of an integer order.
Authors: Cerqueti, Roy
Costantini, Mauro
Keywords: Multivariate analysis
Nonparametric methods
Co-integration
Asymptotic properties.
Issue Date: 12-Jul-2005
Abstract: 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 i
...more
URI: http://hdl.handle.net/2192/96
Appears in Collections:4 - REPEC
Econpapers

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