Linear cointegration is known to have the important property of invariance under temporal translation. The same … property is shown not to apply for nonlinear cointegration. The limit properties of the Nadaraya–Watson (NW) estimator for … cointegrating regression differs importantly from conventional linear cointegration which is invariant to time translation. When …

Linear cointegration is known to have the important property of invariance un- der temporal translation. The same … property is shown not to apply for nonlinear cointegration. The requisite limit theory involves sample covariances of … conventional linear cointegration which is invariant to time translation. When centred on the pseudo-function and ap- propriately …

We deal with nonparametric estimation in a nonlinear cointegration model whose regressor and error term can be …

This paper introduces a class of cointegration tests based on estimated low-pass and high-pass regression coefficients … cointegration in a n + k multivariate system with n cointegrating relationships without the need of either detrending nor … cointegration under the null without the need of special tables.  Small sample quantiles for these wavelet statistics are obtained …

data are analyzed using cointegration and error correction to assess causality in differentiating between technological …