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Inference on the Attractor Space via Functional Approximation

open access: yesOxford Bulletin of Economics and Statistics, Volume 88, Issue 4, Page 643-657, August 2026.
ABSTRACT This paper discusses semiparametric inference on hypotheses on the cointegration and the attractor spaces for I(1) linear processes with moderately large cross‐sectional dimension. The approach is based on sample canonical correlations and functional approximation of Brownian motions, and it can be applied both to the whole system and or to ...
Massimo Franchi, Paolo Paruolo
wiley   +1 more source

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