Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance

by Gilles Dufrénot, Valérie Mignon

This book provides new insights on nonlinear cointegration and error correction models. It seeks to bring together recent developments on the subject that are, up until today, scattered throughout the literature. The authors demonstrate the importance of NECM models for studying partial adjustment problems in macroeconomics and the efficient market hypothesis in finance. Even though papers on nonlinear cointegration are numerous a survey can still be made on the topic. This book is accessible to a large audience that includes academics working on applied econometrics, practitioners of financial markets and econometric modelling and all persons interested in time series analysis

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Year of publication:	2002
Authors:	Dufrénot, Gilles ; Mignon, Valérie
Publisher:	Boston, MA : Springer US
Subject:	Kointegration \| Cointegration \| Makroökonomik \| Macroeconomics \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis \| Nichtlineare Dynamik \| Nonlinear dynamics \| Kapitalanlage \| Financial investment

Extent:	Online-Ressource (XXVII, 299 p) online resource
Type of publication:	Book / Working Paper
Language:	English
Notes:	1. Introduction1 Combining the hypotheses of nonstationarity and nonlinearity -- 2 A brief review of some nonlinear models -- 3 Unit root and stationarity tests -- 2. Are the Unit-Root Tests Adequate for Nonlinear Models? -- 1 Introduction -- 2 Examples of nonlinear models with unit roots and longmemory -- 3 Monte Carlo experiments: applying the classical tests to nonlinear models -- 4 Extensions of traditional unit root tests based on ADF regressions -- 5 Nonlinear stochastic and deterministic trends -- 6 Data analysis on macroeconomic and financial variables -- 3. Nonlinear Measures of Persistence in Time Series -- 1 Introduction -- 2 Short memory and extended memory variables -- 3 Mixing conditions -- 4 kth-order dependence in time series -- 5 Correlation and entropy measures -- 4. Nonlinear Equilibration, Cointegration and NEC Models -- 1 Introduction -- 2 Nonlinear equilibration -- 3 Nonlinear cointegration -- 4 Nonlinear co-trending between a set of variables -- 5. Asymmetric and Threshold Nonlinear Error-Correction Models -- 1 Introduction -- 2 Asymmetries in partial adjustment models -- 3 Threshold autoregressive NEC models -- References.
ISBN:	978-1-4757-3615-1 ; 978-1-4419-5276-9
Other identifiers:	10.1007/978-1-4757-3615-1 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013522361