Asymptotic convergence of weighted random matrices: nonparametric cointegration analysis for I(2) processes

Roy Cerqueti and Mauro Costantini

Economics & Statistics Discussion Papers from University of Molise, Department of Economics

Abstract: The aim of this paper is to provide a new perspective on the nonparametric co-integration analysis for integrated processes of the second order. Our analysis focus on a pair of random matrices related to such integrated process. Such matrices are constructed by introducing some weight functions. Under asymptotic conditions on such weights, convergence results in distribution are obtained. Therefore, a generalized eigenvalue problem is solved. Differential equations and stochastic calculus theory are used.

Keywords: Co-integration; Nonparametric; Differential equations; Asymptotic properties. (search for similar items in EconPapers)
JEL-codes: C14 C32 C65 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2005-09-09
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:mol:ecsdps:esdp05027

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