Nonlinear Persistence and Copersistence

Christian Gourieroux and Joann Jasiak

Working Papers from York University, Department of Economics

Abstract: In a nonlinear framework, temporal dependence of time series is sensitive to transformations. The aim of this paper is to examine in detail the relationships between various forms of persistence and nonlinear transformations of stationary and nonstationary processes. We introduce the concept of persistence space and use it to define the degrees of persistence of univariate or multivariate processes. For illustration, we examine and compare the persistence structure of a fractionally integrated process and a beta mixture of AR(1) processes. The study of multivariate processes is focused on nonlinear comovements between the components, called the copersistence directions, or cointegration directions in the nonstationary case. We nd that, in general, there is a multiplicity of such directions, causing an identi cation problem in the analysis of nonlinear cointegration.

Keywords: Nonlinear Autocorrelogram; Canonical Analysis; Persistence; Chaos; Unit Root; Cointegration (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Pages: 34 pages
Date: 1999-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://dept.econ.yorku.ca/research/workingPapers/working_papers/coper.pdf First version, 1999

Related works:
Chapter: Nonlinear Persistence and Copersistence (2011)
Working Paper: Nonlinear persistence and copersistence (1999)
Working Paper: Nonlinear Persistence and Copersistence (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:yca:wpaper:2000_1

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