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Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes

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  • Corradi, Valentina
  • Swanson, Norman R.
  • White, Halbert

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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Suggested Citation

  • 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.
    • Handle: RePEc:eee:econom:v:96:y:2000:i:1:p:39-73
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    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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