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Please use this identifier to cite or link to this item: http://hdl.handle.net/2192/97

 
Title: Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes.
Authors: Cerqueti, Roy
Costantini, Mauro
Keywords: Co-integration
Nonparametric
Differential equations
Asymptotic properties.
Issue Date: 9-Sep-2005
Abstract: The 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
...more
URI: http://hdl.handle.net/2192/97
Appears in Collections:4 - REPEC
Econpapers

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