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

DOI10.1016/J.JECONOM.2011.05.013zbMATH Open1441.62879OpenAlexW2018805266MaRDI QIDQ738027FDOQ738027

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

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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)

Cites Work

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• Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period

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
• A new correlation for bivariate time series with a higher order of integration
• Spurious correlation under fractional integration in output series
• Testing cointegration relationship in a semiparametric varying coefficient model
• Spurious functional-coefficient regression models and robust inference with marginal integration
• LIMIT THEORY FOR LOCALLY FLAT FUNCTIONAL COEFFICIENT REGRESSION
• Functional-coefficient cointegration models in the presence of deterministic trends
• Model specification test with correlated but not cointegrated variables
• Volatility spillover effect: a semiparametric analysis of non-cointegrated process
• When bias contributes to variance: true limit theory in functional coefficient cointegrating regression
• Changes in persistence, spurious regressions and the Fisher hypothesis

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