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Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorBerenguer Rico, Vanessa
dc.contributor.authorGonzalo, Jesús
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned2011-07-13T12:36:01Z
dc.date.available2011-07-13T12:36:01Z
dc.date.issued2011-06
dc.description.abstractThe order of integration is valid to characterize linear processes; but it is not appropriate for non-linear worlds. We propose the concept of summability (a re-scaled partial sum of the process being Op(1)) to handle non-linearities. The paper shows that this new concept, S (δ): (i) generalizes I (δ); (ii) measures the degree of persistence as well as of the evolution of the variance; (iii) controls the balancedness of non-linear relationships; (iv) opens the door to the concept of co-summability which represents a generalization of co-integration for non-linear processes. To make this concept empirically applicable, an estimator for δ and its asymptotic properties are provided. The finite sample performance of subsampling confidence intervals is analyzed via a Monte Carlo experiment. The paper finishes with the estimation of the degree of summability of the macroeconomic variables in an extended version of the Nelson-Plosser database.
dc.format.mimetypeapplication/pdf
dc.identifier.issn2340-5031
dc.identifier.repecwe1115
dc.identifier.urihttps://hdl.handle.net/10016/11808
dc.identifier.uxxiDT/0000000897
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Economics
dc.relation.ispartofseries11-15
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEconomía
dc.subject.jelC01
dc.subject.jelC22
dc.subject.otherCo-integration
dc.subject.otherCo-summability
dc.subject.otherIntegrated processes
dc.subject.otherNon-linear balanced relationships
dc.subject.otherNon-linear processes
dc.subject.otherSummability
dc.titleSummability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes
dc.typeworking paper*
dc.type.hasVersionSMUR*
dspace.entity.typePublication
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