Nonlinear Persistence and Copersistence

Christian Gourieroux and Joann Jasiak

Chapter 4 in Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, 2011, pp 77-103 from Palgrave Macmillan

Abstract: Abstract Theoretical research on long-term relationships between economic time series has a history that spans several decades during which various linear and nonlinear comovements were unveiled, such as the Phillips curve, and the purchasing power parity. In contrast, the econometric analysis of long-term relationships is much more recent, and has been conducted mainly in the linear framework. This is the case of the cointegration theory for nonstationary time series (see Granger, 1986; Engle and Granger, 1987; Johansen, 1998), and the codependence theory for stationary series (Gourieroux and Peaucelle, 1992; Engle and Kozicki, 1993; Kugler and Neusser, 1993). Under both approaches, the dynamics of the time series of interest (i.e. VAR model) as well as their long-term relationships are assumed to be linear.

Keywords: Gaussian Process; Canonical Correlation; Hermite Polynomial; Nonlinear Transformation; Canonical Decomposition (search for similar items in EconPapers)
Date: 2011
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Working Paper: Nonlinear Persistence and Copersistence (1999)
Working Paper: Nonlinear Persistence and Copersistence (1999)
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DOI: 10.1057/9780230295216_4

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