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Functional cointegration : definition and nonparametric estimation

Banerjee, Anurag Narayan; Pitarakis, Jean-Yves - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 5, pp. 507-520

Persistent link: https://www.econbiz.de/10010461196

Does the Feldstein-Horioka relationship vary with economic policy uncertainty?

Lin, Yi-Chen; Deng, Wen-Shuenn - In: Applied economics letters 28 (2021) 14, pp. 1187-1194

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Nonparametric estimation in a nonlinear cointegration type model

Karlsen, Hans Arnfinn; Myklebust, Terje; Tjostheim, Dag - 2000

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Semiparametric estimation of multivariate fractional cointegration

Chen, Willa W.; Hurwich, Clifford M. - In: Journal of the American Statistical Association : JASA 98 (2003) 463, pp. 629-642

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Nonparametric cointegration tests

Bierens, Herman J. - 1994

Persistent link: https://www.econbiz.de/10000888251

Adaptive testing for cointegration with nonstationary volatility

Boswijk, Herman Peter; Zu, Yang - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 744-755

Persistent link: https://www.econbiz.de/10013534484

Redefining the nexus of military spending among Southeast Mediterranean countries in the presence of nonlinearities

Palaios, Panagiotis; Papapetrou, Evangelia - In: Defence and peace economics 35 (2024) 7, pp. 865-882

Persistent link: https://www.econbiz.de/10015182013

Testing the aggregation of goods and services without separability using panel data

Ogura, Manami - In: Empirical economics : a quarterly journal of the … 67 (2024) 4, pp. 1581-1613

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Semiparametric Innovation-Based Tests of Orthogonality and Causality between Two Infinite-Order Cointegrated Ceries with Application to Canada/US Monetary Interactions

Bouhaddioui, Chafik - 2011

We propose a semi-parametric approach for testing orthogonality and causality between two infinite-order co-integrated vector auto-regressive IVAR(1) series. The procedures considered can be viewed as extensions of classical methods proposed by Haugh (1976, JASA) and Hong (1996, Biometrika) for...

Persistent link: https://www.econbiz.de/10013128858

Semiparametric inference in multivariate fractionally cointegrated systems

Hualde, J.; Robinson, Peter M. - In: Journal of econometrics 157 (2010) 2, pp. 492-511

Persistent link: https://www.econbiz.de/10008662973