Nonlinear persistence and copersistence

Christian S. Gourieroux and Joann Josiak

CEPREMAP Working Papers (Couverture Orange) from CEPREMAP

Abstract: In a nonlinear framework, temporal dependence of time series is sensitive to transformations. The aim of this paper is to examine in detail the relationships between various forms of persistence and nonlinear transformations of stationary and nonstationary processes. We introduce the concept of persistence space and use it to define the degrees of persistence of univariate or multivariate processes. For illustration, we examine and compare the persistence structure of a fractionally integrated process and a beta mixture of AR(1) processes. The study of multivariate processes is focused on nonlinear comovements between the components, called the copersistence directions, or cointegration directions in the nonstationary case. We find that, in general, there is multiplicity of such directions, causing an identification problem in the analysis of nonlinear cointegration.

JEL-codes: C14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 1999
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Related works:
Working Paper: Nonlinear Persistence and Copersistence (1999)
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Persistent link: http://EconPapers.repec.org/RePEc:cpm:cepmap:9920

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