Nonparametric cointegration analysis



n -2(R TAmR


r . A z

Op (n 2) Op (n 1)     (O

O (n 1) n 2Л       O

^ pv   ' m J ∖


(A.30)


V 1
r
,m

J


where the latter result follows from (15). Q.E.D.

Proof of Lemma 5: By Chebishev inequality:

P(λU nKqκm) 1


E (λ1,m )

у   α, q-r, m


E [trace( Г 1, m)]


(A.31)


α, q-r, m


Moreover, it follows easily from (23), by first conditioning on the X*k’s, that

m

E( V,,m ) = ∑ γ 2Jr

k= 1

j-1


A-1

*T


m

= ∑γ I

к-1

m

= Σ γ2I

к- 1


∑YjEtrace (1/mX^X^τ W? I,


j= 1


Ik=1


(A.32)


m

q~,∙^ 2τ

γt7 k1r ,
m k= 1


where the second equality follows from fact that the X*k’s are i.i.d., hence it follows from (22)
that

(

E [trace( V,+1,m )] = 1


ɪɪɪ A
mJ
J


(A

£y2 trace(RrTD(1)D(1)TRr+J.

<k=1    


(A.33)


Q.E.D.

Proof of Lemma 6: It follows from Fourier analysis that we can write without loss of generality:

Fk(x ) =


У2 cjkexp(2iπjx), where cjk = Jexp(2iπjx)Fk(x)dx.

(A.34)


-∞<z' <

43



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