This paper shows that the properties of nonlinear transformations of a fractionally integrated process depend strongly …

techniques lead to spurious forecasts. Improvements of the forecast accuracy are possible with properly chosen nonlinear … transformations of the predictor. The paper derives the limiting distribution of the forecasts’ MSE. In the case of square integrable …

from the fact that nonlinear transformations of integrated processes are in general not integrated, which implies that … presence of unit root nonstationary regressors in panels. Two of them are rather fundamental: First, the use of nonlinear … transformations of integrated regressors in the Kuznets curve, which usually contains GDP and its square is problematic. This stems …

In this paper, we consider nonlinear transformations of random walks driven by thick-tailed innovations with undefined … series generated by nonlinear transformations of random walks with thick-tailed innovations have asymptotic autocorrelations …