Nonparametric Nonlinear Cotrending Analysis, with an Application to Interest and Inflation in the United States

Herman Bierens ()

Journal of Business & Economic Statistics, 2000, vol. 18, issue 3, 323-37

Abstract: Given the assumption that the components of a vector time series are stationary around nonlinear deterministic time trends, nonlinear cotrending is the phenomenon that one or more linear combinations of the time series are stationary around a linear trend or a constant; hence, the series have common nonlinear deterministic time trends. In this article, I develop nonparametric tests for nonlinear cotrending, and I derive nonparametric estimators of the cotrending vectors. I apply this approach to the federal funds rate and the consumer price index inflation rate in the United States, using monthly data, to analyze the price puzzle.

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:18:y:2000:i:3:p:323-37

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