985数量经济与金融系列讲座第158期：Consistent Cotrending Rank Selection When Both Stochastic and Nonlinear Deterministic Trends are Present

题目：Consistent Cotrending Rank Selection When Both Stochastic and Nonlinear Deterministic Trends are Present

主讲人：Guo, Zhengfeng Information Technology Officer

Abstract

This paper proposes a model-free cotrending rank selection procedure based on the eigenstructure of a multivariate version of the von Neumann ratio, in the presence of both stochastic and nonlinear deterministic trends. Our selection criteria are easily implemented and the consistency of the rank estimator is established under very general conditions. Simulation results suggest good .finite sample properties of the new rank selection criteria. The proposed method is then illustrated through an application of the Japanese money demand function allowing for the cotrending relationship among money, income and interest rates.