Chapter

Nonlinear and nonstationary models

Timo Teräsvirta, Dag Tjøstheim and W. J. Granger

in Modelling Nonlinear Economic Time Series

Published in print December 2010 | ISBN: 9780199587148
Published online May 2011 | e-ISBN: 9780191595387 | DOI: http://dx.doi.org/10.1093/acprof:oso/9780199587148.003.0011

Series: Advanced Texts in Econometrics

Nonlinear and nonstationary models

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Long memory, unit root models and cointegration are important in linear modelling of nonstationary processes, not the least in econometrics. Recently, nonlinear generalizations of these concepts have been attempted. The framework is mathematically demanding, requiring tools that can handle both nonstationarity and nonlinearity. Two such tools are local times and null recurrent Markov chains. These are reviewed in parametric and non‐parametric cases.

Keywords: long memory; unit root; cointegration; nonlinear regression; nonstationary regression; nonparametric estimation; nonstationarity

Chapter.  13369 words. 

Subjects: Econometrics and Mathematical Economics

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