JSM 2011 Online Program

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Abstract Details

Activity Number: 623
Type: Contributed
Date/Time: Thursday, August 4, 2011 : 8:30 AM to 10:20 AM
Sponsor: Section on Nonparametric Statistics
Abstract - #301481
Title: Measuring Correlations of Integrated but Not Cointegrated Variables: A Semiparametric Approach
Author(s): Yiguo Sun*+
Companies: University of Guelph
Address: 50 STONE ROAD EAST, GUELPH, ON, N1G2W1, CANADA
Keywords: integrated time series ; non-cointegration ; Semiparametric varying coefficient models
Abstract:

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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