Searching for linear and nonlinear cointegration: a new approach

Felipe M. Aparicio
Authors registered in the RePEc Author Service: Alvaro Escribano

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: In this paper we propose several statistics to measure serial dependence that are useful to characterize short and long memory properties. By doing that we can measure nonlinear serial dependence, which allows us to extend the usual linear framework and to discuss short-memory and long-memory properties in a nonlinear contexto Bootstrap simulation experiments report promising results for the new indices to detect nonlinearities in the cointegrating relationship,prior to estimating the nonlinear cointegrating function.

Keywords: Short-memoty; long; memory; mean-reversion; linear; cointegration; mutual; information (search for similar items in EconPapers)
Date: 1997-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://e-archivo.uc3m.es/rest/api/core/bitstreams ... 12c18076e18d/content (application/pdf)

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:cte:wsrepe:6219

Access Statistics for this paper

More papers in DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística
Bibliographic data for series maintained by Ana Poveda ().