Testing for Stationarity-Ergodicity and for Comovements Between Nonlinear Discrete Time Markov Processes

Valentina Corradi, N. Swanson and Halbert White

Working Papers from Pennsylvania State - Department of Economics

Abstract: In this paper we introduce a class of nonlinear data generating processes (DGPs) that ara first order Markov and can be represented as the sum of a linear plus a bounded nonlinear component.

Keywords: COINTEGRATION (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 55 pages
Date: 1996
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Citations: View citations in EconPapers (20)

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Journal Article: Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pensta:4-96-6

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