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Some generalizations on the algebra of I(1) processes

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  • Ermini, Luigi
  • Granger, Clive W. J.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 58 (1993)
Issue (Month): 3 (August)
Pages: 369-384

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Handle: RePEc:eee:econom:v:58:y:1993:i:3:p:369-384

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Web page: http://www.elsevier.com/locate/jeconom

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Cited by:
  1. Corradi, V. & Swanson, N. & White, H., 1996. "Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes," Papers 4-96-6, Pennsylvania State - Department of Economics.
  2. Christian Gourieroux & Joanna Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 99-63, Centre de Recherche en Economie et Statistique.
  3. Yoon, Gawon, 2005. "Long-memory property of nonlinear transformations of break processes," Economics Letters, Elsevier, vol. 87(3), pages 373-377, June.
  4. Roger Perman & David I. Stern, 2003. "Evidence from panel unit root and cointegration tests that the Environmental Kuznets Curve does not exist," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 47(3), pages 325-347, 09.
  5. Krämer, Walter & Davies, Laurie, 2000. "Testing for unit roots in the context of misspecified logarithmic random walks," Technical Reports 2000,30, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  6. Yann Schorderet, 2002. "A Nonlinear Generalization of Cointegration : A Note on Hidden Cointegration," Research Papers by the Department of Economics, University of Geneva 2002.03, Département des Sciences Économiques, Université de Genève.
  7. Felipe M. Aparicio & Alvaro Escribano & Ana García, 2004. "A Range Unit Root Test," Statistics and Econometrics Working Papers ws041104, Universidad Carlos III, Departamento de Estadística y Econometría.
  8. Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July.
  9. Seung Hyun Hong & Peter C. B. Phillips, 2005. "Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity," Cowles Foundation Discussion Papers 1541, Cowles Foundation for Research in Economics, Yale University.
  10. Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.).
  11. Felipe M. Aparicio & Alvaro Escribano, 2003. "Cointegration Tests Based On Record Counting Statistics," Statistics and Econometrics Working Papers ws036615, Universidad Carlos III, Departamento de Estadística y Econometría.
  12. Gang Liu & Terje Skjerpen & Anders Rygh Swensen & Kjetil Telle, 2006. "Unit Roots, Polynomial Transformations and the Environmental Kuznets Curve," Discussion Papers 443, Research Department of Statistics Norway.
  13. Luigi Ermini, 1993. "Testing For Population Bias in California Warming," Working Papers 199306, University of Hawaii at Manoa, Department of Economics.

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