Anurag, Banerjee; Jean-Yves, Pitarakis - In: Studies in Nonlinear Dynamics & Econometrics 18 (2014) 5, pp. 14-14
We formally define a concept of functional cointegration linking the dynamics of two time series via a functional coefficient. This is achieved through the use of a concept of summability as an alternative to I(1)’ness which is no longer suitable under nonlinear dynamics. We subsequently...