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

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Author Info

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

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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Bibliographic Info

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

Contact details of provider:
Postal: PENNSYLVANIA STATE UNIVERSITY, DEPARTMENT OF ECONOMICS, UNIVERSITY PARK PENNSYLVANIA 16802 U.S.A.
Phone: (814)865-1456
Fax: (814)863-4775
Web page: http://econ.la.psu.edu/
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Keywords: COINTEGRATION;

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References

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  1. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
  2. Park, J.Y. & Ogaki, M., 1991. "Inference in Cointegrated Models Using VAR Prewhitening to Estimate Shortrun Dynamics," RCER Working Papers 281, University of Rochester - Center for Economic Research (RCER).
  3. Lee, Tae-Hwy & White, Halbert & Granger, Clive W. J., 1993. "Testing for neglected nonlinearity in time series models : A comparison of neural network methods and alternative tests," Journal of Econometrics, Elsevier, vol. 56(3), pages 269-290, April.
  4. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-58, November.
  5. Pesaran, H.M. & Potter, S.M., 1995. "A Floor and Ceiling Model of U.S. Output," Cambridge Working Papers in Economics 9407, Faculty of Economics, University of Cambridge.
  6. Domowitz, Ian & El-Gamal, Mahmoud A., 2001. "A consistent nonparametric test of ergodicity for time series with applications," Journal of Econometrics, Elsevier, vol. 102(2), pages 365-398, June.
  7. Anderson, Heather M. & Vahid, Farshid, 1998. "Testing multiple equation systems for common nonlinear components," Journal of Econometrics, Elsevier, vol. 84(1), pages 1-36, May.
  8. Luigi Ermini & Clive W.J. Granger, 1991. "Some Generalizations on the Algebra of I(1) Processes," Working Papers 199113, University of Hawaii at Manoa, Department of Economics.
  9. Terasvirta, T & Anderson, H M, 1992. "Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages S119-36, Suppl. De.
  10. Domowitz, Ian & El-Gamal, Mahmoud A., 1993. "A Consistent Test of Stationary-Ergodicity," Econometric Theory, Cambridge University Press, vol. 9(04), pages 589-601, August.
  11. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  12. Stinchcombe, Maxwell B. & White, Halbert, 1998. "Consistent Specification Testing With Nuisance Parameters Present Only Under The Alternative," Econometric Theory, Cambridge University Press, vol. 14(03), pages 295-325, June.
  13. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  14. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  15. Granger, Clive W. J. & Inoue, Tomoo & Morin, Norman, 1997. "Nonlinear stochastic trends," Journal of Econometrics, Elsevier, vol. 81(1), pages 65-92, November.
  16. Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May.
  17. Granger, Clive W J & Hallman, Jeffrey J, 1991. "Long Memory Series with Attractors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 53(1), pages 11-26, February.
  18. Hansen, Bruce E., 1992. "Convergence to Stochastic Integrals for Dependent Heterogeneous Processes," Econometric Theory, Cambridge University Press, vol. 8(04), pages 489-500, December.
  19. Hansen, Bruce E., 1992. "Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 87-121.
  20. Shin, Yongcheol, 1994. "A Residual-Based Test of the Null of Cointegration Against the Alternative of No Cointegration," Econometric Theory, Cambridge University Press, vol. 10(01), pages 91-115, March.
  21. Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February.
  22. Granger, Clive W J, 1995. "Modelling Nonlinear Relationships between Extended-Memory Variables," Econometrica, Econometric Society, vol. 63(2), pages 265-79, March.
  23. Anderson, Heather M, 1997. "Transaction Costs and Non-linear Adjustment towards Equilibrium in the US Treasury Bill Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 465-84, November.
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Citations

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Cited by:
  1. Christian Gourieroux & Joann Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 2000_1, York University, Department of Economics.
  2. Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, School of Economics and Management, University of Aarhus.
  3. Filippo Altissimo & Giovanni L. Violante, 2001. "The non-linear dynamics of output and unemployment in the U.S," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 461-486.
  4. Frédérique Bec & Mélika Ben Salem, 2004. "L'ajustement à seuildes processus cointégrés. Que sait-on des modèles à trois régimes ?," Revue d'économie politique, Dalloz, vol. 0(4), pages 467-488.
  5. Hwan Seo, Myung, 2011. "Estimation Of Nonlinear Error Correction Models," Econometric Theory, Cambridge University Press, vol. 27(02), pages 201-234, April.
  6. Granger, Clive W.J. & Hyung, Namwon, 1998. "Introduction to M-M Processes," University of California at San Diego, Economics Working Paper Series qt9pk546xs, Department of Economics, UC San Diego.
  7. Granger, Clive W. J. & Inoue, Tomoo & Morin, Norman, 1997. "Nonlinear stochastic trends," Journal of Econometrics, Elsevier, vol. 81(1), pages 65-92, November.
  8. Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, School of Economics and Management, University of Aarhus.
  9. Vasco Gabriel & Pataaree Sangduan, 2009. "Assessing Fiscal Sustainability Subject to Policy Changes: a Markov Switching Cointegration Approach," School of Economics Discussion Papers 0309, School of Economics, University of Surrey.
  10. Swanson, Norman R. & White, Halbert, 1997. "Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models," International Journal of Forecasting, Elsevier, vol. 13(4), pages 439-461, December.
  11. Valentina Corradi & Norman R. Swanson, 2003. "The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test," Departmental Working Papers 200322, Rutgers University, Department of Economics.
  12. Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
  13. Alfred A. Haug & Pierre L. Siklos, 2002. "The Term Spread International Evidence of Non-Linear Adjustment," Working Papers 2002_08, York University, Department of Economics, revised Jul 2004.
  14. Hubrich, Kirstin & Lütkepohl, Helmut & Saikkonen, Pentti, 1998. "A review of systemscointegration tests," SFB 373 Discussion Papers 1998,101, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  15. Saikkonen, Pentti, 2005. "Stability results for nonlinear error correction models," Journal of Econometrics, Elsevier, vol. 127(1), pages 69-81, July.
  16. R.P. Berben & D. van Dijk, 1999. "Unit roots and asymetric adjustment - a reassessment," Econometric Institute Report 101, Erasmus University Rotterdam, Econometric Institute.
  17. Daiki Maki, 2008. "The Performance of Variance Ratio Unit Root Tests Under Nonlinear Stationary TAR and STAR Processes: Evidence from Monte Carlo Simulations and Applications," Computational Economics, Society for Computational Economics, vol. 31(1), pages 77-94, February.

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