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Abstract Details
Activity Number:
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623
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Type:
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Contributed
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Date/Time:
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Thursday, August 4, 2011 : 8:30 AM to 10:20 AM
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Sponsor:
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Section on Nonparametric Statistics
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Abstract - #301481 |
Title:
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Measuring Correlations of Integrated but Not Cointegrated Variables: A Semiparametric Approach
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Author(s):
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Yiguo Sun*+
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Companies:
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University of Guelph
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Address:
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50 STONE ROAD EAST, GUELPH, ON, N1G2W1, CANADA
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Keywords:
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integrated time series ;
non-cointegration ;
Semiparametric varying coefficient models
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Abstract:
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Many macroeconomic and financial variables are integrated I(1) processes, and they are correlated with each other but not necessarily cointegrated. In this paper, we propose to use a semiparametric varying coefficient approach to model/capture such correlations. We propose two consistent estimators to study the dependence relationship among some integrated but not cointegrate time series variables. Simulations are used to examine the finite sample performances of the proposed estimators.
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Authors who are presenting talks have a * after their name.
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