Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes

DOI10.1016/S0304-4076(99)00050-0zbMath1054.62577MaRDI QIDQ1973429

Valentina Corradi, Halbert White, Norman R. Swanson

Publication date: 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Markov processesCointegrationNonlinearitiesLinear stochastic comovement

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

Related Items (13)

Introduction to m-m processes ⋮ The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test ⋮ ESTIMATION OF NONLINEAR ERROR CORRECTION MODELS ⋮ Nonlinear stochastic trends ⋮ Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand ⋮ The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications ⋮ TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS ⋮ Likelihood-based inference for cointegration with nonlinear error-correction ⋮ STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION ⋮ DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS ⋮ A REVIEW OF SYSTEMS COINTEGRATION TESTS ⋮ Testing for strict stationarity in a random coefficient autoregressive model ⋮ Stability results for nonlinear error correction models

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