NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

Clive Granger and Jeff Hallman

Journal of Time Series Analysis, 1991, vol. 12, issue 3, 207-224

Abstract: Abstract. In this paper we consider the effects of nonlinear transformations on integrated processes and unit root tests performed on such series. A test that is invariant to monotone data transformations is proposed. It is shown that series are generally not cointegrated with nonlinear transformations of themselves, but the same transformation applied to a pair of cointegrated series can result in cointegration between the transformed series.

Date: 1991
References: Add references at CitEc
Citations: View citations in EconPapers (60)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1991.tb00078.x

Related works:
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: https://EconPapers.repec.org/RePEc:bla:jtsera:v:12:y:1991:i:3:p:207-224

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().