Open Access. Powered by Scholars. Published by Universities.®
Social and Behavioral Sciences Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 2 of 2
Full-Text Articles in Social and Behavioral Sciences
Unit Root And Cointegrating Limit Theory When Initialization Is In The Infinite Past, Peter C.B. Phillips, Tassos Magdalinos
Unit Root And Cointegrating Limit Theory When Initialization Is In The Infinite Past, Peter C.B. Phillips, Tassos Magdalinos
Cowles Foundation Discussion Papers
It is well known that unit root limit distributions are sensitive to initial conditions in the distant past. If the distant past initialization is extended to the infinite past, the initial condition dominates the limit theory producing a faster rate of convergence, a limiting Cauchy distribution for the least squares coefficient and a limit normal distribution for the t ratio. This amounts to the tail of the unit root process wagging the dog of the unit root limit theory. These simple results apply in the case of a univariate autoregression with no intercept. The limit theory for vector unit root …
Structural Nonparametric Cointegrating Regression, Qiying Wang, Peter C.B. Phillips
Structural Nonparametric Cointegrating Regression, Qiying Wang, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Nonparametric estimation of a structural cointegrating regression model is studied. As in the standard linear cointegrating regression model, the regressor and the dependent variable are jointly dependent and contemporaneously correlated. In nonparametric estimation problems, joint dependence is known to be a major complication that affects identification, induces bias in conventional kernel estimates, and frequently leads to ill-posed inverse problems. In functional cointegrating regressions where the regressor is an integrated time series, it is shown here that inverse and ill-posed inverse problems do not arise. Remarkably, nonparametric kernel estimation of a structural nonparametric cointegrating regression is consistent and the limit distribution …