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

DOI10.1016/J.JECONOM.2011.05.013MaRDI QIDQ738027zbMATH OpenOpenAlexFDO

Authors Yiguo Sun, Cheng Hsiao, Qi Li

Publication date 12 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2011.05.013

zbMATH Keywords

integrated time seriesnon-cointegrationsemiparametric varying coefficient models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Model specification test with correlated but not cointegrated variables
• Semiparametric functional coefficient models with integrated covariates
• Estimation of varying coefficient models with time trend and integrated regressors
• Testing serial correlations in semiparametric time-varying coefficient models
• Testing cointegration relationship in a semiparametric varying coefficient model

Cites work

• scientific article; zbMATH DE number 3692406 (Why is no real title available?)
• A maximal inequality and dependent strong laws
• A note on strong mixing of ARMA processes
• Adaptive Varying-Coefficient Linear Models
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Functional-Coefficient Regression Models for Nonlinear Time Series
• Functional-coefficient cointegration models
• Functional-coefficient models for nonstationary time series data
• Functional‐coefficient models under unit root behaviour
• Limiting behavior of U-statistics for stationary, absolutely regular processes
• Local limit theory and spurious nonparametric regression
• Modeling and pricing long memory in stock market volatility
• Nonlinear Regression with Dependent Observations
• Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period
• The functional central limit theorem and weak convergence to stochastic integrals. I: Weakly dependent processes

Cited in

(11)

• Advances and challenges in parametric and semi-parametric analysis for correlated data. Proceedings of the 2015 international symposium in statistics, ISS 2015, St. John's, Canada, July 6--8, 2015
• Volatility spillover effect: a semiparametric analysis of non-cointegrated process
• Changes in persistence, spurious regressions and the Fisher hypothesis
• When bias contributes to variance: true limit theory in functional coefficient cointegrating regression
• Spurious functional-coefficient regression models and robust inference with marginal integration
• Spurious correlation under fractional integration in output series
• Model specification test with correlated but not cointegrated variables
• Testing cointegration relationship in a semiparametric varying coefficient model
• A new correlation for bivariate time series with a higher order of integration
• LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION
• Functional-coefficient cointegration models in the presence of deterministic trends

This page was built for publication: Measuring correlations of integrated but not cointegrated variables: a semiparametric approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q738027)