Some notes on nonlinear cointegration: A partial review with some novel perspectives

Dag Tjøstheim

Econometric Reviews, 2020, vol. 39, issue 7, 655-673

Abstract: Some recent work on the analysis of nonlinear and nonstationary time series models is reviewed. A couple of novel results are obtained in extending nonlinear cointegrating regression models to a time series situation. All through the paper focus is on aspects that could lead to a more well-defined concept of nonlinear cointegration.

Date: 2020
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DOI: 10.1080/07474938.2020.1771900

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