Nonlinearity and Temporal Dependence

Xiaohong Chen (), Lars Peter Hansen and Marine Carrasco ()
Additional contact information
Xiaohong Chen: Cowles Foundation, Yale University, http://cowles.econ.yale.edu/faculty/chen.htm

No 1652, Cowles Foundation Discussion Papers from Cowles Foundation, Yale University

Abstract: Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We study this link using two notions of temporal dependence: beta-mixing and rho-mixing. We show that beta-mixing and rho-mixing with exponential decay are essentially equivalent concepts for scalar diffusions. For stationary diffusions that fail to be rho-mixing, we show that they are still beta-mixing except that the decay rates are slower than exponential. For such processes we find transformations of the Markov states that have finite variances but infinite spectral densities at frequency zero. Some have spectral densities that diverge at frequency zero in a manner similar to that of stochastic processes with long memory. Finally we show how nonlinear, state-dependent, Poisson sampling alters the unconditional distribution as well as the temporal dependence.

Keywords: Mixing; Diffusion; Strong dependence; Long memory; Poisson sampling (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 C50 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
Date: 2008-05
View list of references View citations in EconPapers

Downloads: (external link)
http://cowles.econ.yale.edu/P/cd/d16b/d1652.pdf (application/pdf)

Related works:
Working Paper: Nonlinearity and Temporal Dependence (2009)
Working Paper: Nonlinearity and Temporal Dependence (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cwl:cwldpp:1652

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation, Yale University
Address: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Contact information at EDIRC.
Series data maintained by Glena Ames ().