D, Nesmith Travis; E, Jones Barry - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 1, pp. 1-18
We develop a representation of nonlinear integrated vector processes based on the martingale representation theorem of Hall and Heyde (1980). In the representation, linear combinations of the components of the vector process may be stationary, so the system may be linearly cointegrated, yet...