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	Functional-coefficient cointegration models
	Xiao, Zhijie
	2010-10-12 ; 2010-10-12 ; OCT
关键词	Cointegration Local polynomial Nonparametric Time varying Functional coefficients TIME-SERIES STOCK-PRICES UNIT-ROOT REGRESSION TESTS BUBBLES Economics Mathematics, Interdisciplinary Applications Social Sciences, Mathematical Methods
中文摘要	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. (C) 2009 Elsevier B.V. All rights reserved.
语种	英语 ; 英语
出版者	ELSEVIER SCIENCE SA ; LAUSANNE ; PO BOX 564, 1001 LAUSANNE, SWITZERLAND
内容类型	期刊论文
源URL	[http://hdl.handle.net/123456789/78576]
专题	清华大学
推荐引用方式 GB/T 7714	Xiao, Zhijie. Functional-coefficient cointegration models[J],2010, 2010, OCT.
APA	Xiao, Zhijie.(2010).Functional-coefficient cointegration models..
MLA	Xiao, Zhijie."Functional-coefficient cointegration models".(2010).

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