Nonparametric Nonlinear Cotrending Analysis, With an Application to Interest and Inflation in the United States
提出非参数检验和估计方法，用于识别向量时间序列中围绕非线性趋势的共同趋势成分，并应用于美国联邦基金利率和CPI通胀率数据，分析价格之谜。
Given the assumption that the components of a vector time series are stationary around nonlinear deterministic time trends, nonlinear cotrending is the phenomenon that one or more linear combinations of the time series are stationary around a linear trend or a constant; hence, the series have common nonlinear deterministic time trends. In this article, I develop nonparametric tests for nonlinear cotrending, and I derive nonparametric estimators of the cotrending vectors. I apply this approach to the federal funds rate and the consumer price index inflation rate in the United States, using monthly data, to analyze the price puzzle.