Nonparametric cointegration analysis



are just the reciprocals of n2λj,m. Thus again referring to Andersen, Brons and Jensen (1983) it
follows that
n2(λq-r+1 ,m, .. , λq,m ) converges in distribution to the ordered eigenvalues of the
matrix
Vr,m2 . Finally, observe that, with X*k defined by (18) and

Y" R {RTτD(1)D(1)trJ'÷R,τD(1)Yt   (- Nr[0,Ir]),                                    (21)

we can write the matrix Vr,m as

(22)


Vr,n, -    D(1)D(1) R’ Vr'mi' D(1)D(1) τRr)4

where

V,
r,m


∑ γ 2 yΓyΓ
k- 1


(23)


Y     YY

Λ,



Thus we have:

Theorem 2. Under the conditions of Theorem 1, n2(λq-r+1,m, .. , λq,m) converges in distribution
to
(λ*1,m2,...,λ*r,m2), where λ*1,m... ≥ λ*r,m are the ordered solutions of the generalized eigenvalue
problem

det V,m - λ RirτD(1)D(1)τRr) "

where the matrix Vr*, m is defined in (23) with the X*i ’s and Y*j*’s independent q-r-variate and
r-variate, respectively, standard normally distributed random vectors.

4. Testing the number of cointegrating vectors

12



More intriguing information

1. Endogenous Heterogeneity in Strategic Models: Symmetry-breaking via Strategic Substitutes and Nonconcavities
2. Reform of the EU Sugar Regime: Impacts on Sugar Production in Ireland
3. LOCAL PROGRAMS AND ACTIVITIES TO HELP FARM PEOPLE ADJUST
4. Human Resource Management Practices and Wage Dispersion in U.S. Establishments
5. Convergence in TFP among Italian Regions - Panel Unit Roots with Heterogeneity and Cross Sectional Dependence
6. The name is absent
7. Mergers and the changing landscape of commercial banking (Part II)
8. Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate
9. The name is absent
10. The name is absent