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Searching for linear and nonlinear cointegration: a new approach

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorAparicio, Felipe M.
dc.contributor.authorEscribano, Álvaro
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2009-12-23T10:47:38Z
dc.date.available2009-12-23T10:47:38Z
dc.date.issued1997-09
dc.description.abstractIn 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.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/6219
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries97-65-26
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.ecienciaEstadística
dc.subject.otherShort-memoty
dc.subject.otherlong memory
dc.subject.othermean-reversion
dc.subject.otherlinear cointegration
dc.subject.othermutual information
dc.titleSearching for linear and nonlinear cointegration: a new approach
dc.typeworking paper*
dspace.entity.typePublication
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