Nonparametric cointegration analysis



n

lim n →∞((1∣n )Σ
t= 1


√,
∑,dj
Ij1     '


cos[2kπ (t - 0.5)/n∖


(A.69)


This completes the proof of the second part of Lemma 9. The proof of the first part goes
similarly. Q.E.D.

51



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