La cointégration non linéaire: une note méthodologique

Gilles Dufrénot () and Valérie Mignon ()

Economie & Prévision, 2002, vol. 155, issue 4, 117-137

Abstract: The aim of this paper is to present recent contributions extending the classical concept of cointegration to non-linear cases. Thus, we look at a joint study of non-stationary and non-linear phenomena and offer a complete presentation of theoretical developments involving the concepts of integration, memory and non-linear cointegration. Within this framework we look at the methods available to express the non-linear cointegration concept: non-linear error correction models, tools developed from information theory and the concepts of mixed time series and time series with strong dependence. The article also gives a brief overview of empirical literature.

Keywords: non-linear cointegration; error correction models (search for similar items in EconPapers)
Date: 2002
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