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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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  • Ermini, Luigi & Granger, Clive W. J., 1993. "Some generalizations on the algebra of I(1) processes," Journal of Econometrics, Elsevier, vol. 58(3), pages 369-384, August.
    • Handle: RePEc:eee:econom:v:58:y:1993:i:3:p:369-384
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    Cited by:

    1. Aparicio, Felipe M. & García, Ana, 2003. "Range unit root tests," DES - Working Papers. Statistics and Econometrics. WS ws031126, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Kramer, Walter & Davies, Laurie, 2002. "Testing for unit roots in the context of misspecified logarithmic random walks," Economics Letters, Elsevier, vol. 74(3), pages 313-319, February.
    3. Luigi Ermini & David F. Hendry, 2008. "Log Income vs. Linear Income: An Application of the Encompassing Principle," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 807-827, December.
    4. Hong, Seung Hyun & Phillips, Peter C. B., 2010. "Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 96-114.
    5. Claudio Morana, 2022. "Euro area inflation and a new measure of core inflation," Working Paper series 22-14, Rimini Centre for Economic Analysis, revised Nov 2023.
    6. Gang Liu & Terje Skjerpen & Kjetil Telle, 2009. "Unit roots, polynomial transformations and the environmental Kuznets curve," Applied Economics Letters, Taylor & Francis Journals, vol. 16(3), pages 285-288.
    7. Christian Gourieroux & Joann Jasiak, 2011. "Nonlinear Persistence and Copersistence," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 4, pages 77-103, Palgrave Macmillan.
    8. Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
    9. Gawon Yoon, 1997. "Further analysis of official and black market exchange rates in Brazil: data transformations and structural changes," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 317-325.
    10. Niels Haldrup & Robinson Kruse, 2014. "Discriminating between fractional integration and spurious long memory," CREATES Research Papers 2014-19, Department of Economics and Business Economics, Aarhus University.
    11. Ivan Roberts & Trent Saunders & Gareth Spence & Natasha Cassidy, 2016. "China's Evolving Demand for Commodities," RBA Annual Conference Volume (Discontinued), in: Iris Day & John Simon (ed.),Structural Change in China: Implications for Australia and the World, Reserve Bank of Australia.
    12. Luigi Ermini, 1993. "Testing For Population Bias in California Warming," Working Papers 199306, University of Hawaii at Manoa, Department of Economics.
    13. Luigi Ermini, 1993. "Shock Persistence and Stochastic Trends in Australian Aggregate Output and Consumption," The Economic Record, The Economic Society of Australia, vol. 69(1), pages 34-43, March.
    14. Morana, Claudio, 2024. "A new macro-financial condition index for the euro area," Econometrics and Statistics, Elsevier, vol. 29(C), pages 64-87.
    15. 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.
    16. 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.).
    17. Francesca Di Iorio & Stefano Fachin, 2022. "Fiscal reaction functions for the advanced economies revisited," Empirical Economics, Springer, vol. 62(6), pages 2865-2891, June.
    18. Christian Gourieroux & Joann Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 2000_1, York University, Department of Economics.
    19. Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July.
    20. Yoon, Gawon, 2005. "Long-memory property of nonlinear transformations of break processes," Economics Letters, Elsevier, vol. 87(3), pages 373-377, June.
    21. Gilles Dufrénot & Valérie Mignon, 2002. "La cointégration non linéaire : une note méthodologique," Economie & Prévision, La Documentation Française, vol. 155(4), pages 117-137.
    22. Perman, Roger & Stern, David I., 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 1-23, September.
    23. Granger, Clive W J, 1995. "Modelling Nonlinear Relationships between Extended-Memory Variables," Econometrica, Econometric Society, vol. 63(2), pages 265-279, March.
    24. Aparicio, Felipe M., 2003. "Cointegration tests based on record counting statistics," DES - Working Papers. Statistics and Econometrics. WS ws036615, Universidad Carlos III de Madrid. Departamento de Estadística.

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