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

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

Author Info

Corradi, V.
Swanson, N.
White, H.

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Abstract

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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Paper provided by Pennsylvania State - Department of Economics in its series Papers with number 4-96-6.

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Length: 55 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:fth:pensta:4-96-6

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Keywords: COINTEGRATION;

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Article
- Corradi, Valentina & Swanson, Norman R. & White, Halbert, 2000. "Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 39-73, May. [Downloadable!] (restricted)

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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