 Non-Linear Integration and Cointegration. Testing an Example of Verification of the PPP HypothesisChapter 5 in Acta Universitatis Lodziensis. Folia Oeconomica nr 177/2004 - Forecasting and Decision-Making in Financial Markets, 2004, vol. 177, pp 79-94 from University of Lodz Abstract: In the paper the problem of investigation of non-linear cointegrating relationships is analysed. Though linear models have their advantages connected with simplicity of analysis and calculations, they turn out to be too large simplification of the economic reality. Firstly dependencies in the long run can take a non-linear form; secondly meanwhile the linear error correction, founding the proportionality and symmetry of adaptation to the long-term equilibrium, it sets aside this that system can correct large disequilibria stronger than small or react more strongly to negative disequilibria. In the paper the modern tests of non-linear integration and cointegration are presented - tests which are unsensitive or faintly sensitive on monotonic transformations of variables. The procedures were applied to verification of the PPP hypothesis in reference to US dollar expressed in forints, Czech crowns as well as zlotys. Keywords: Non-linear integration; Non-linear cointegration; Non-linear ECM (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ann:findec:book:y:2004:n:177:ch:05:foe Access Statistics for this chapter More chapters in FindEcon Chapters: Forecasting Financial Markets and Economic Decision-Making from University of Lodz Contact information at EDIRC. |
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