کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096844 | 1376553 | 2009 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Functional-coefficient cointegration models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Functional-coefficient cointegration models Functional-coefficient cointegration models](/preview/png/5096844.png)
چکیده انگلیسی
This paper studies estimation and inference of functional coefficient cointegration models. The proposed model offers a more flexible structure of cointegration where the value of cointegrating coefficients may be affected by informative covariates and thus may vary over time. The model may be viewed as a stochastic cointegration model and includes the conventional cointegration model as a special case. The proposed new model provides a useful complement to the conventional fixed coefficient cointegration models. Both kernel and local polynomial estimators are investigated. Inference procedures for instability of cointegrating parameters and a test for cointegration are proposed based on the functional-coefficient estimates. Limiting distributions of the estimates and testing statistics are derived.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 152, Issue 2, October 2009, Pages 81-92
Journal: Journal of Econometrics - Volume 152, Issue 2, October 2009, Pages 81-92
نویسندگان
Zhijie Xiao,