Measuring correlations of integrated but not cointegrated variables: A semiparametric approach Academic Article

abstract

• Many macroeconomic and financial variables are integrated of order one (or I(1)) processes and 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 cointegrated time series variables. Simulations are used to examine the finite sample performances of the proposed estimators. 2011 Elsevier B.V. All rights reserved.

authors

• Li, Qi

published proceedings

• JOURNAL OF ECONOMETRICS

author list (cited authors)

• Sun, Y., Hsiao, C., & Li, Q. i.

citation count

• 12

complete list of authors

• Sun, Yiguo||Hsiao, Cheng||Li, Qi

publication date

• January 2011

publisher

• Elsevier  Publisher

published in

• Journal of Econometrics  Journal

keywords

• Integrated Time Series
• Non-cointegration
• Semiparametric Varying Coefficient Models

Digital Object Identifier (DOI)

• 10.1016/j.jeconom.2011.05.013

start page

• 252

end page

• 267

volume

• 164

issue

• 2

URL

• http://dx.doi.org/10.1016/j.jeconom.2011.05.013