Functional cointegration: definition and nonparametric estimation

Jean-Yves Pitarakis

MPRA Paper from University Library of Munich, Germany

Abstract: We formally define a concept of functional cointegration linking the dynamics of two time series via a functional coefficient. This is achieved through the use of a concept of summability as an alternative to I(1)'ness which is no longer suitable under nonlinear dynamics. We subsequently introduce a nonparametric approach for estimating the unknown functional coefficients. Our method is based on a piecewise local least squares principle and is computationally simple to implement. We establish its consistency properties and evaluate its performance in finite samples.

Keywords: Functional Coefficients; Unit Roots; Cointegration; Piecewise Local Linear Estimation (search for similar items in EconPapers)
JEL-codes: C22 C50 (search for similar items in EconPapers)
Date: 2012-05
New Economics Papers: this item is included in nep-ecm and nep-ets
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Related works:
Journal Article: Functional cointegration: definition and nonparametric estimation (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:38846

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