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Full-Text Articles in Social and Behavioral Sciences
Unit Root Model Selection, Peter C.B. Phillips
Unit Root Model Selection, Peter C.B. Phillips
Cowles Foundation Discussion Papers
Some limit properties for information based model selection criteria are given in the context of unit root evaluation and various assumptions about initial conditions. Allowing for a nonparametric short memory component, standard information criteria are shown to be weakly consistent for a unit root provided the penalty coefficient C n → ∞ and C n /n → 0 as n → ∞. Strong consistency holds when C n /(log log n ) 3 → ∞ under conventional assumptions on initial conditions and under a slightly stronger condition when initial conditions are infinitely distant in the unit root model. The limit …
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 …