Measuring correlations of integrated but not cointegrated variables: A semiparametric approach

Yiguo Sun, Cheng Hsiao and Qi Li

Journal of Econometrics, 2011, vol. 164, issue 2, 252-267

Abstract: Many macroeconomic and financial variables are integrated of order one (or I(1)) processes and are correlated with each other but not necessarily cointegrated. In this paper, we propose to use a semiparametric varying coefficient approach to model/capture such correlations. We propose two consistent estimators to study the dependence relationship among some integrated but not cointegrated time series variables. Simulations are used to examine the finite sample performances of the proposed estimators.

Keywords: Integrated; time; series; Non-cointegration; Semiparametric; varying; coefficient; models (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:164:y:2011:i:2:p:252-267

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