Fractional Nonparametric Cointegration Analysis
نویسندگان
چکیده
This paper provides a theoretical fractional cointegration analysis in a nonparametric framework. We solve a generalized eigenvalues problem, extending Bierens’ (1997) approach. To this end, a couple of random matrices is constructed, distinguishing between stationary and nonstationary part of the fractional integrated process. The asymptotic behavior of such matrices is studied and convergence results are obtained. JEL Classification: C14, C22, C65.
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