Generalization of a nonparametric co-integration analysis for multivariate integrated processes of an integer order.

Abstract

This paper provides a further generalization of co-integration tests in a nonparametric setting. We adopt Bierens' approach in order to give an extension for processes I(d), with a fixed integer d. A generalized eigenvalue problem is solved, and the test statistics involved are obtained starting from two matrices that are independent on the data generating process. The mathematical tools we adopt are related to the asymptotic theory of the stochastic processes. The key point of our work is linked to the distinguishing between the stationary and non-stationary part of an integrated process.Multivariate analysis, Nonparametric methods, Co-integration, Asymptotic properties.