Nonparametric cointegration analysis of the nominal interest rate and expected inflation rate

DOI10.1016/S0165-1765(03)00216-7zbMath1254.91605OpenAlexW2060821301MaRDI QIDQ1927402

Daiki Maki

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(03)00216-7

zbMATH Keywords

cointegrationnonparametricnonlinear adjustment

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Linear Cointegration of Nonlinear Time Series with an Application to Interest Rate Dynamics

Cites Work

• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Statistical analysis of cointegration vectors
• Nonparametric cointegration analysis
• Nonparametric tests for unit roots and cointegration.
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• SEMIPARAMETRIC ESTIMATION OF PARTIALLY LINEAR MODELS FOR DEPENDENT DATA WITH GENERATED REGRESSORS
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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