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

Author

Listed:
  • 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.

Suggested Citation

  • Corradi, V. & Swanson, N. & White, H., 1996. "Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes," Papers 4-96-6, Pennsylvania State - Department of Economics.
  • Handle: RePEc:fth:pensta:4-96-6
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    References listed on IDEAS

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    More about this item

    Keywords

    COINTEGRATION;

    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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