Measuring correlations of integrated but not cointegrated variables: a semiparametric approach

DOI10.1016/J.JECONOM.2011.05.013zbMath1441.62879OpenAlexW2018805266MaRDI QIDQ738027

Cheng Hsiao, Yiguo Sun, Q. Li

Publication date: 12 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.05.013

zbMATH Keywords

integrated time seriesnon-cointegrationsemiparametric varying coefficient models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (8)

Spurious functional-coefficient regression models and robust inference with marginal integration ⋮ Volatility Spillover Effect: A Semiparametric Analysis of Non-Cointegrated Process ⋮ LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION ⋮ When bias contributes to variance: true limit theory in functional coefficient cointegrating regression ⋮ Changes in persistence, spurious regressions and the Fisher hypothesis ⋮ Testing cointegration relationship in a semiparametric varying coefficient model ⋮ Model specification test with correlated but not cointegrated variables ⋮ Functional-coefficient cointegration models in the presence of deterministic trends

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