haku: @author White, H. / yhteensä: 7
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| Tekijä: | Corradi, V. Swanson, N. R. White, H. |
| Otsikko: | Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes |
| Lehti: | Journal of Econometrics
2000 : MAY, VOL. 96:1, p. 39-73 |
| Asiasana: | Cointegration Models |
| Vapaa asiasana: | Markov processes Nonlinearities |
| Kieli: | eng |
| Tiivistelmä: | In this paper, a class of non-linear data generating processes (DGPs) that are first order Markov is introduced. They be represented as the sum of a linear plus a bounded nonlinear component. The concepts of geometric ergodicity and of linear stochastic comovement are used. It is shown that the stationarity test due to Kwiatowski (et al.) and the cointegration test of Shin are applicable in the current context. |
SCIMA