首页|Cotrending: Testing for common deterministic trends in varying means model
Cotrending: Testing for common deterministic trends in varying means model
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NSTL
Elsevier
In a varying means model, the temporary evolution of a p-vector system is determined by p deterministic nonparametric functions superimposed by error terms, possibly dependent cross sectionally. The basic interest is in linear combinations across the p dimensions that make the deterministic functions constant over time. The number of such linearly independent linear combinations is referred to as a cotrending dimension, and their spanned space as a cotrending space. This work puts forward a framework to test statistically for cotrending dimension and space. Connections to principal component analysis and cointegration are also considered. Finally, a simulation study to assess the finite-sample performance of the proposed tests, and applications to several real data sets are also provided. (c) 2021 Elsevier Inc. All rights reserved.
Asymptotic normalityCointegrationCotrending dimension and spaceMatrix rank and nullityPrincipal component analysisTestingVarying meansRANKCOINTEGRATIONINFERENCEMATRICES
NSTL
Elsevier
