Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes.

In this paper we introduce a class of nonlinear data generating processes (DGPs) that ara first order Markov and can be represented as the sum of a linear plus a bounded nonlinear component.

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Year of publication:	1996
Authors:	Corradi, V. ; Swanson, N. ; White, H.
Institutions:	Department of Economics, Pennsylvania State University
Subject:	COINTEGRATION

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Series:	Pennsylvania State - Department of Economics.
Type of publication:	Book / Working Paper
Notes:	55 pages
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005777014