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Determination of Cointegrating Rank in Partially Nonstationary Processess via a Generalised Von-Neuman Criterion

Harris, D. and Poskitt, D.S. (2004) Determination of Cointegrating Rank in Partially Nonstationary Processess via a Generalised Von-Neuman Criterion. The Econometrics Journal, 7 (1). pp. 191-217. ISSN 1368-4221

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Abstract

Summary In this paper we show that it is possible to characterise the cointegrating structure of a partially non-stationary, cointegrated, I(1) time series via the canonical correlations between the future and, the present and past, of the first differences of that series. This leads to a consideration of different model free non-parametric methodologies for identifying the cointegrating rank. An adaptation of existing techniques using a novel method of spectral estimation gives rise to both a new applied tool and an alternative analytical framework that unifies current hypothesis-testing approaches. An investigation of the eigenstructure of a multivariate version of von-Neumann's ratio also leads to the development of an entirely new model free cointegrating rank selection criterion. All the procedures considered are easily implemented and the practical relevance of the theoretical results obtained, which are founded on asymptotic arguments, is demonstrated by means of a simulation study.

Item Type: Article
Academic Units: The University of York > Economics and Related Studies (York)
Depositing User: York RAE Import
Date Deposited: 10 Feb 2009 15:57
Last Modified: 10 Feb 2009 15:57
Published Version: http://dx.doi.org/10.1111/j.1368-423X.2004.00127.x
Status: Published
Publisher: Blackwell Publishing
Identification Number: 10.1111/j.1368-423X.2004.00127.x
URI: http://eprints.whiterose.ac.uk/id/eprint/7602

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