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

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorBerenguer Rico, Vanessa
dc.contributor.authorGonzalo Muñoz, Jesús
dc.contributor.funderMinisterio de Educación y Ciencia (España)es
dc.contributor.funderMinisterio de Ciencia e Innovación (España)es
dc.date.accessioned2022-09-14T16:41:23Z
dc.date.available2022-09-14T16:41:23Z
dc.date.issued2014-01-01
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 O-p(1)) to handle non-linearities. The paper shows that this new concept, S (delta): (i) generalizes I (delta); (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 delta 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.en
dc.description.sponsorshipFinancial support from SEJ-2007-63098, ECO-2010-19357, CONSOLIDER 2010 (CSD 2006-00016), and EXCELECON S-2007/HUM-044 grants is gratefully acknowledged.en
dc.identifier.bibliographicCitationBerenguer-Rico, V., & Gonzalo, J. (2014). Summability of stochastic processes-A generalization of integration for non-linear processes. Journal of Econometrics, 178, pp. 331-341.es
dc.identifier.doihttps://doi.org/10.1016/j.jeconom.2013.08.031
dc.identifier.issn0304-4076
dc.identifier.publicationfirstpage331es
dc.identifier.publicationissuePart 2es
dc.identifier.publicationlastpage341es
dc.identifier.publicationtitleJOURNAL OF ECONOMETRICSen
dc.identifier.publicationvolume178es
dc.identifier.urihttps://hdl.handle.net/10016/35700
dc.identifier.uxxiAR/0000014556
dc.language.isoenges
dc.publisherElsevieres
dc.relation.projectIDGobierno de España. SEJ-2007-63098es
dc.relation.projectIDGobierno de España. ECO-2010-19357es
dc.relation.projectIDGobierno de España. CONSOLIDER 2010 (CSD 2006-00016)es
dc.rights© 2013 Elsevier B.V. All rights reservedes
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.accessRightsopen accessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.ecienciaEconomíaes
dc.subject.jelC01
dc.subject.jelC22
dc.subject.otherCo-integrationen
dc.subject.otherCo-summabilityen
dc.subject.otherIntegrated processesen
dc.subject.otherNon-linear balanced relationshipsen
dc.subject.otherNon-linear processesen
dc.subject.otherSummabilityen
dc.subject.otherRegressionses
dc.titleSummability of stochastic processes: a generalization of integration for non-linear processeses
dc.typeresearch article*
dc.type.hasVersionAM*
dspace.entity.typePublication
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