Nonparametric cointegration analysis



JxFk(x)dx о 0,                                                                       (28)

respectively, and to verify afterwards that the optimal weight functions Fk satisfy the stronger
conditions (6) and (7).

Without loss of generality we may represent the functions Fk by their Fourier flexible
form

∞∞

Fk(x) α αo,k +αj,kcos(2jπx) +βj,ksin(2jπx)

Then by some tedious but straightforward calculations it can be shown that:

Lemma 6. The conditions (27), (28), (8), (9), and (10) now read as:

Fk(χ)dχ α αok - 0


;(χ)dχ - -F-β
2π J=1 J


ffFk(x )Fm (y )min(x, y ) dxdy


8π2



÷Σ

J=1


βJ,kβJ,


0 if km ,


F(x ) [Fm (y ) dydx = -r- Σ
4 4                  4 П 7=1


β

J, kt^J, m


Vj-1


Σ

j=1


β

J,m J,k


[Fk(x )Fm (x ) dx = ʌ


V α..α.

X-7   j, k j,

Ij'1


ʌ

-∞

÷    βjkβ rnt


0 if km .


Combining (1) and the results of Lemma 6, we have

16



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