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La cointégration non linéaire : une note méthodologique

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  • Gilles Dufrénot
  • Valérie Mignon

Abstract

[eng] Non-linear Cointegration : a Discussion of Methodology.. The aim of this paper is to present recent contributions extending the classical concept of cointegration to non-linear cases. Thus, we look at a joint study of non-stationary and non-linear phenomena and offer a complete presentation of theoretical developments involving the concepts of integration, memory and non-linear cointegration. Within this framework we look at the methods available to express the non-linear cointegration concept : non-linear error correction models, tools developed from information theory and the concepts of mixed time series and time series with strong dependence. The article also gives a brief overview of empirical literature. [fre] L'objet de ce papier est de présenter les contributions récentes relatives à l'extension de la notion usuelle de cointégration au cas non linéaire. Nous nous intéressons ainsi à l'étude conjointe des phénomènes de non stationnarité et de non linéarité en proposant une présentation complète des développements théoriques concernant les notions d'intégration, de mémoire et de cointégration non linéaire. Dans ce cadre sont abordées les différentes possibilités de rendre compte du concept de cointégration non linéaire : modèles à correction d'erreur non linéaires, outils issus de la théorie de l'information et concepts de série fortement mélangée et de dépendance proche. Un bref panorama de la littérature empirique est également dressé.

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  • Gilles Dufrénot & Valérie Mignon, 2002. "La cointégration non linéaire : une note méthodologique," Économie et Prévision, Programme National Persée, vol. 155(4), pages 117-137.
    • Handle: RePEc:prs:ecoprv:ecop_0249-4744_2002_num_155_4_6874
    DOI: 10.3406/ecop.2002.6874
    Note: DOI:10.3406/ecop.2002.6874
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