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Nonlinear stochastic trends

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  • Granger, Clive W. J.
  • Inoue, Tomoo
  • Morin, Norman

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  • Granger, Clive W. J. & Inoue, Tomoo & Morin, Norman, 1997. "Nonlinear stochastic trends," Journal of Econometrics, Elsevier, vol. 81(1), pages 65-92, November.
    • Handle: RePEc:eee:econom:v:81:y:1997:i:1:p:65-92
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    References listed on IDEAS

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    1. Kersting, Götz, 1992. "A law of large numbers for stochastic difference equations," Stochastic Processes and their Applications, Elsevier, vol. 40(1), pages 1-13, February.
    2. Corradi, Valentina & Swanson, Norman R. & White, Halbert, 2000. "Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 39-73, May.
    3. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
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    Citations

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    Cited by:

    1. Jiti Gao & Maxwell King, 2011. "A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors," Monash Econometrics and Business Statistics Working Papers 20/11, Monash University, Department of Econometrics and Business Statistics.
    2. Gao, Jiti, 2012. "Identification, Estimation and Specification in a Class of Semi-Linear Time Series Models," MPRA Paper 39256, University Library of Munich, Germany, revised 14 May 2012.
    3. Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
    4. Dagum, Estela Bee & Giannerini, Simone, 2006. "A critical investigation on detrending procedures for non-linear processes," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 175-191, March.
    5. Corradi, Valentina & Swanson, Norman R. & White, Halbert, 2000. "Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 39-73, May.
    6. Escribano, Alvaro & Peña, Daniel & Ruiz, Esther, 2021. "30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1333-1337.
    7. George Athanasopoulos & Minfeng Deng & Gang Li & Haiyan Song, 2013. "Domestic and outbound tourism demand in Australia: a System-of-Equations Approach," Monash Econometrics and Business Statistics Working Papers 6/13, Monash University, Department of Econometrics and Business Statistics.
    8. Dilip M. Nachane, 2011. "Selected Problems in the Analysis of Nonstationary & Nonlinear Time Series," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(1), pages 1-17.
    9. INOUE Tomoo & OKIMOTO Tatsuyoshi, 2022. "Exploring the Dynamic Relationship between Mobility and the Spread of COVID-19, and the Role of Vaccines," Discussion papers 22011, Research Institute of Economy, Trade and Industry (RIETI).
    10. Onour, Ibrahim, 2009. "Rational bubbles and volatility persistence in India stock market," MPRA Paper 18545, University Library of Munich, Germany.
    11. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
    12. Gao, Jiti & King, Maxwell, 2003. "Estimation and model specification testing in nonparametric and semiparametric econometric models," MPRA Paper 11989, University Library of Munich, Germany, revised Feb 2006.
    13. Maximo Camacho, 2002. "Nonlinear stochastic trends and economic fluctuations," Computing in Economics and Finance 2002 274, Society for Computational Economics.
    14. Camacho, Maximo, 2005. "Markov-switching stochastic trends and economic fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 135-158, January.
    15. Jiti Gao, 2012. "Identification, Estimation and Specification in a Class of Semiparametic Time Series Models," Monash Econometrics and Business Statistics Working Papers 6/12, Monash University, Department of Econometrics and Business Statistics.

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