Some notes on nonlinear cointegration: A partial review with some novel perspectives
Journal article, Peer reviewed
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Date
2020Metadata
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- Department of Mathematics [934]
- Registrations from Cristin [9514]
Abstract
Some recent work on the analysis of nonlinear and nonstationary time series models is reviewed. A couple of novel results are obtained in extending nonlinear cointegrating regression models to a time series situation. All through the paper focus is on aspects that could lead to a more well-defined concept of nonlinear cointegration.