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La cointégration non linéaire : une note méthodologique

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  • Gilles Dufrénot
  • Valérie Mignon

Abstract

The aim of this paper is to present recent contributions extending the classical concept of cointegration to non-linear cases. Thus, we look at a joint study of non-stationary and non-linear phenomena and offer a complete presentation of theoretical developments involving the concepts of integration, memory and non-linear cointegration. Within this framework we look at the methods available to express the non-linear cointegration concept: non-linear error correction models, tools developed from information theory and the concepts of mixed time series and time series with strong dependence. The article also gives a brief overview of empirical literature.

Suggested Citation

  • Gilles Dufrénot & Valérie Mignon, 2002. "La cointégration non linéaire : une note méthodologique," Economie & Prévision, La Documentation Française, vol. 155(4), pages 117-137.
    • Handle: RePEc:cai:ecoldc:ecop_155_0117
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    Cited by:

    1. Chlibi Souhir & Jawadi Fredj & Sellami Mohamed, 2017. "Modeling threshold effects in stock price co-movements: a vector nonlinear cointegration approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 47-63, February.

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