کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096476 | 1376530 | 2011 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Measuring correlations of integrated but not cointegrated variables: A semiparametric approach
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Many macroeconomic and financial variables are integrated of order one (or I(1)) processes and are correlated with each other but not necessarily cointegrated. In this paper, we propose to use a semiparametric varying coefficient approach to model/capture such correlations. We propose two consistent estimators to study the dependence relationship among some integrated but not cointegrated time series variables. Simulations are used to examine the finite sample performances of the proposed estimators.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 164, Issue 2, 1 October 2011, Pages 252-267
Journal: Journal of Econometrics - Volume 164, Issue 2, 1 October 2011, Pages 252-267
نویسندگان
Yiguo Sun, Cheng Hsiao, Qi Li,