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Nonlinear Persistence and Copersistence

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Author Info
Christian Gourieroux () (CREST and CEPREMAP)
Joann Jasiak () (York University, Canada)

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Abstract

In a nonlinear framework, temporal dependence of time series is sensitive to transformations. The aim of this paper is to examine in detail the relationships between various forms of persistence and nonlinear transformations of stationary and nonstationary processes. We introduce the concept of persistence space and use it to define the degrees of persistence of univariate or multivariate processes. For illustration, we examine and compare the persistence structure of a fractionally integrated process and a beta mixture of AR(1) processes. The study of multivariate processes is focused on nonlinear comovements between the components, called the copersistence directions, or cointegration directions in the nonstationary case. We nd that, in general, there is a multiplicity of such directions, causing an identi cation problem in the analysis of nonlinear cointegration.

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File URL: http://dept.econ.yorku.ca/research/workingPapers/working_papers/coper.pdf
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File Function: First version, 1999
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Publisher Info
Paper provided by York University, Department of Economics in its series Working Papers with number 2000_1.

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Length: 34 pages
Date of creation: Nov 1999
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Handle: RePEc:yca:wpaper:2000_1

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Related research
Keywords: Nonlinear Autocorrelogram Canonical Analysis Persistence Chaos Unit Root Cointegration

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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

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