Nonparametric cointegration analysis

doi:10.1016/S0304-4076(96)01820-9

Journal of Econometrics

Volume 77, Issue 2, April 1997, Pages 379-404

https://doi.org/10.1016/S0304-4076(96)01820-9 Get rights and content

Abstract

In this paper we propose consistent cointegration tests, and estimators of a basis of the space of cointegrating vectors, that do not used specification of the data-generating process, apart from some mild regularity conditions, or estimation of structural and/or nuisance parameters. This nonparametric approach is in the same spirit as Johansen's LR method in that the test statistics involved are obtained from the solutions of a generalized eigenvalue problem, and the hypotheses to be tested are the same, but in our case the two matrices in the generalized eigenvalue problem involved are constructed independently of the data-generating process. We compare our approach empirically as well as by a limited Monte Carlo simulation with Johansen's approach, using the series for In(wages) and In(GNP) from the extended Nelson-Plosser data.

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^☆: This paper was written and revised while affiliated with the Southern Methodist University and enjoying the hospitality of Tilburg University during the summers of 1993, 1994, and 1995. The helpful comments of Manfred Deistler, Philip Hans Franses, Noud van Giersbergen, Esfandiar Maassoumi, Rolf Tschernig, Ben Vogelvang, and four referees are gratefully acknowledged. Previous versios of this paper have been presented at the University of Amsterdam, Free University of Amsterdam, University of Houston, Rice University, Texas A&M University, Tinbergen Institute Rotterdam University of British Columbia, University of Virginia, the University of Wisconsin, ESEM 1994, and the ERNSI Econometric Workshop 1995, The Netherlands.

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Nonparametric cointegration analysis☆

Abstract

Journal of Econometrics

Journal of Econometrics

Journal of Econometrics

Journal of Econometrics

Journal of Economics Dynamics and Control

Journal of Monetary Economics

Distribution of eigenvalues in multivariate statistical analysis

Annals of Statistics

Topics in advanced econometrics: estimation, testing, and specification of cross-section and time series models

Testing stationarity and trend stationarity against the unit root hypothesis

Econometric Reviews

Convergence of probability measures

Testing for an unstable root in conditional and structural error correction models

Journal of Econometrics

On the theory of cointegrated economic time series

Cointegrating and error correction: Representation, estimation, and testing

Econometrica

Cointegrated economic time series: A survey with new results

Martingale limit theory and its applications

Numerical methods for scientists and engineers