Publication: Searching for linear and nonlinear cointegration: a new approach
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1997-09
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Abstract
In this paper we propose several statistics to measure serial dependence that are useful to characterize short and long memory properties. By doing that we can measure nonlinear serial dependence, which allows us to extend the usual linear framework and to discuss short-memory and long-memory properties in a nonlinear contexto Bootstrap simulation experiments report promising results for the new indices to detect nonlinearities in the cointegrating relationship,prior to estimating the nonlinear cointegrating function.
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Short-memoty, long memory, mean-reversion, linear cointegration, mutual information