Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096844 | Journal of Econometrics | 2009 | 12 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Zhijie Xiao,