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Nonlinear Transformations Of Integrated Time Series
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Cited by:
- Christian Gourieroux & Joann Jasiak, 2011.
"Nonlinear Persistence and Copersistence,"
Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 4, pages 77-103,
Palgrave Macmillan.
- Gourieroux, Christian & Josiak, Joann, 1999. "Nonlinear persistence and copersistence," CEPREMAP Working Papers (Couverture Orange) 9920, CEPREMAP.
- Christian Gourieroux & Joann Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 2000_1, York University, Department of Economics.
- Christian Gourieroux & Joanna Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 99-63, Center for Research in Economics and Statistics.
- Morana, Claudio, 2024.
"A new macro-financial condition index for the euro area,"
Econometrics and Statistics, Elsevier, vol. 29(C), pages 64-87.
- Claudio Morana, 2021. "A new macro-financial condition index for the euro area," Working Paper series 21-07, Rimini Centre for Economic Analysis, revised Sep 2021.
- Claudio Morana, 2021. "A new macro-financial condition index for the euro area," Working Papers 467, University of Milano-Bicocca, Department of Economics, revised Sep 2021.
- Dittmann, Ingolf & Granger, Clive W. J., 2002.
"Properties of nonlinear transformations of fractionally integrated processes,"
Journal of Econometrics, Elsevier, vol. 110(2), pages 113-133, October.
- Dittmann, Ingolf & Granger, Clive W. J., 2000. "Properties of nonlinear transformations of fractionally integrated processes," Technical Reports 2000,25, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Dittmann, Ingolf & Granger, Clive W.J., 2000. "Properties of Nonlinear Transformations of Fractionally Integrated Processes," University of California at San Diego, Economics Working Paper Series qt0kk9x0mc, Department of Economics, UC San Diego.
- Ibrahim A. Onour, 2009.
"Financial integration of GCC capital markets: evidence of non-linear cointegration,"
Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 1(3), pages 251-265.
- Onour, Ibrahim, 2008. "Financial Integration of GCC Capital Markets:Evidence of Nonlinear Cointegration," MPRA Paper 15187, University Library of Munich, Germany.
- Sephton, Peter & Mann, Janelle, 2013. "Further evidence of an Environmental Kuznets Curve in Spain," Energy Economics, Elsevier, vol. 36(C), pages 177-181.
- Leschinski, Christian, 2017.
"On the memory of products of long range dependent time series,"
Economics Letters, Elsevier, vol. 153(C), pages 72-76.
- Leschinski, Christian, 2016. "On the Memory of Products of Long Range Dependent Time Series," Hannover Economic Papers (HEP) dp-569, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Jinping Zhang & Hongbin Li & Xixi Shi & Yang Hong, 2019. "Wavelet-Nonlinear Cointegration Prediction of Irrigation Water in the Irrigation District," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 33(8), pages 2941-2954, June.
- Jurgen Holl & Robert Kunst, 2011.
"Unit root in unemployment - new evidence from nonparametric tests,"
Applied Economics Letters, Taylor & Francis Journals, vol. 18(6), pages 509-512.
- Jürgen Holl & Robert M. Kunst, 2009. "Unit Root in Unemployment - New Evidence from Nonparametric Tests," Vienna Economics Papers 0915, University of Vienna, Department of Economics.
- Franses, Philip Hans & de Bruin, Paul, 2002.
"On data transformations and evidence of nonlinearity,"
Computational Statistics & Data Analysis, Elsevier, vol. 40(3), pages 621-632, September.
- de Bruin, P. & Franses, Ph.H.B.F., 1998. "On data transformations and evidence of nonlinearity," Econometric Institute Research Papers EI 9823, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Caraiani, Petre, 2010. "Modeling Business Cycles In The Romanian Economy Using The Markov Switching Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 130-136, March.
- Stergios B. Fotopoulos & Sung K. Ahn, 2003. "Rank Based Dickey–Fuller Test Statistics," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 647-662, November.
- Ibrahim Onour, "undated".
"Financial Integration of North Africa Stock Markets,"
API-Working Paper Series
0908, Arab Planning Institute - Kuwait, Information Center.
- Onour, Ibrahim, 2009. "Financial Integration of North Africa Stock Markets," MPRA Paper 14938, University Library of Munich, Germany.
- Tutulmaz, Onur, 2015. "Environmental Kuznets Curve time series application for Turkey: Why controversial results exist for similar models?," Renewable and Sustainable Energy Reviews, Elsevier, vol. 50(C), pages 73-81.
- Song, Tao & Zheng, Tingguo & Tong, Lianjun, 2008. "An empirical test of the environmental Kuznets curve in China: A panel cointegration approach," China Economic Review, Elsevier, vol. 19(3), pages 381-392, September.
- Corradi, Valentina & Swanson, Norman R., 2006.
"The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test,"
Journal of Econometrics, Elsevier, vol. 132(1), pages 195-229, May.
- Valentina Corradi & Norman R. Swanson, 2003. "The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test," Departmental Working Papers 200322, Rutgers University, Department of Economics.
- Ashworth, John & Evans, Lynne & Teriba, Ayo, 1999. "Structural breaks in parallel markets?: the case of Nigeria, 1980-1993," Journal of Development Economics, Elsevier, vol. 58(1), pages 255-264, February.
- Kirstin Hubrich & Helmut Lutkepohl & Pentti Saikkonen, 2001.
"A Review Of Systems Cointegration Tests,"
Econometric Reviews, Taylor & Francis Journals, vol. 20(3), pages 247-318.
- Hubrich, Kirstin & Lütkepohl, Helmut & Saikkonen, Pentti, 1998. "A review of systemscointegration tests," SFB 373 Discussion Papers 1998,101, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Gary Madden & Scott J. Savage, 1998.
"Sources of Australian Labour Productivity Change 1950–1994,"
The Economic Record, The Economic Society of Australia, vol. 74(227), pages 362-372, December.
- Madden, Gary G & Savage, Scott J, 1998. "Sources of Australian labour productivity change 1950-1994," MPRA Paper 11452, University Library of Munich, Germany.
- Steven Cook, 2006. "The robustness of modified unit root tests in the presence of GARCH," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 359-363.
- Norman R. Swanson, 2010.
"Further Developments in the Study of Cointegrated Variables,"
Journal of Financial Econometrics, Oxford University Press, vol. 8(2), pages 187-190, spring.
- Granger, C.W.J. & Swanson, N., 1995. "Further Developments in the Study of Cointegrated Variables," Papers 4-95-13, Pennsylvania State - Department of Economics.
- Robert M. Kunst & Philip Hans Franses, 2011.
"Testing for Seasonal Unit Roots in Monthly Panels of Time Series,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(4), pages 469-488, August.
- Kunst, R.M. & Franses, Ph.H.B.F., 2009. "Testing for seasonal unit roots in monthly panels of time series," Econometric Institute Research Papers EI 2009-05, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Sandrine Lardic & Valérie Mignon, 2004. "Robert F. Engle et Clive W.J. Granger prix Nobel d'économie 2003," Revue d'économie politique, Dalloz, vol. 114(1), pages 1-15.
- Claudio Morana, 2022.
"Euro area inflation and a new measure of core inflation,"
Working Papers
505, University of Milano-Bicocca, Department of Economics, revised Oct 2023.
- Claudio Morana, 2022. "Euro area inflation and a new measure of core inflation," Working Paper series 22-14, Rimini Centre for Economic Analysis, revised Nov 2023.
- Helmut Lütkepohl & Fang Xu, 2012.
"The role of the log transformation in forecasting economic variables,"
Empirical Economics, Springer, vol. 42(3), pages 619-638, June.
- Helmut Lütkepohl & Fang Xu, 2009. "The Role of the Log Transformation in Forecasting Economic Variables," CESifo Working Paper Series 2591, CESifo.
- Piaggio, Matías & Padilla, Emilio, 2012.
"CO2 emissions and economic activity: Heterogeneity across countries and non-stationary series,"
Energy Policy, Elsevier, vol. 46(C), pages 370-381.
- Matías Piaggio & Emilio Padilla, 2010. "CO2 emissions and economic activity: heterogeneity across countries and non stationary series," Documentos de Trabajo de la Asociación de Economía Ecológica en España 01_2010, Asociación de Economía Ecológica en España.
- Matías Piaggio & Emilio Padilla, 2010. "CO2 Emissions and Economic Activity: heterogeneity across countries and non stationary series," Working Papers wpdea1009, Department of Applied Economics at Universitat Autonoma of Barcelona.
- Burnett, J. Wesley & Bergstrom, John C. & Wetzstein, Michael E., 2013. "Carbon dioxide emissions and economic growth in the U.S," Journal of Policy Modeling, Elsevier, vol. 35(6), pages 1014-1028.
- V. A. Reisen & C. Lévy-Leduc & M. Bourguignon & H. Boistard, 2017. "Robust Dickey–Fuller tests based on ranks for time series with additive outliers," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(1), pages 115-131, January.
- Breitung, Jorg & Gourieroux, Christian, 1997.
"Rank tests for unit roots,"
Journal of Econometrics, Elsevier, vol. 81(1), pages 7-27, November.
- Breitung, Jörg & Gouriéroux, Christian, 1996. "Rank tests for unit roots," SFB 373 Discussion Papers 1996,9, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- McAleer, Michael, 1994. "Sherlock Holmes and the Search for Truth: A Diagnostic Tale," Journal of Economic Surveys, Wiley Blackwell, vol. 8(4), pages 317-370, December.
- Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.).
- Steven Cook, 2005. "Rank-based unit root testing in the presence of structural change under the null: simulation results and an application to US inflation," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 607-617.
- Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013.
"Unit roots, non-linearities and structural breaks,"
Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94,
Edward Elgar Publishing.
- Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012. "Unit roots, nonlinearities and structural breaks," CREATES Research Papers 2012-14, Department of Economics and Business Economics, Aarhus University.
- Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
- Don Harding, 2020. "Econometric Foundations of the Great Ratios of Economics," Centre of Policy Studies/IMPACT Centre Working Papers g-300, Victoria University, Centre of Policy Studies/IMPACT Centre.
- Cook, Steven, 2008. "Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 109-116.
- Banerjee Anurag & Pitarakis Jean-Yves, 2014.
"Functional cointegration: definition and nonparametric estimation,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(5), pages 507-520, December.
- Pitarakis, Jean-Yves, 2012. "Functional cointegration: definition and nonparametric estimation," MPRA Paper 38846, University Library of Munich, Germany.
- Neil R. Ericsson & Steven B. Kamin, 1993. "Dollarization in Argentina," International Finance Discussion Papers 460, Board of Governors of the Federal Reserve System (U.S.).
- Wang, Yi-Chia, 2013. "Functional sensitivity of testing the environmental Kuznets curve hypothesis," Resource and Energy Economics, Elsevier, vol. 35(4), pages 451-466.
- Shahidur Rahman, 2005. "An Alternative Estimation to Spurious Regression Model," Economic Growth Centre Working Paper Series 0507, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
- Norman J. Morin & John M. Roberts, 1999. "Is hysteresis important for U.S. unemployment?," Finance and Economics Discussion Series 1999-56, Board of Governors of the Federal Reserve System (U.S.).
- repec:zbw:bofism:2006_035 is not listed on IDEAS
- Mustapha Baghli, 2004. "Modelling the FF/MM rate by threshold cointegration analysis," Applied Economics, Taylor & Francis Journals, vol. 36(6), pages 533-548.
- 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.
- Valentina Corradi, 1995. "Nonlinear Transformations Of Integrated Time Series:A Reconsideration," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(6), pages 539-549, November.
- Granger, Clive W. J. & Swanson, Norman R., 1997.
"An introduction to stochastic unit-root processes,"
Journal of Econometrics, Elsevier, vol. 80(1), pages 35-62, September.
- Granger, E.J. & Swanson, N.R., 1996. "An introduction to stochastic Unit Root Processes," Papers 4-96-3, Pennsylvania State - Department of Economics.
- Kunst, Robert M., 2009. "A Nonparametric Test for Seasonal Unit Roots," Economics Series 233, Institute for Advanced Studies.
- Muhammad Shahbaz & Naceur Khraief & Mantu Kumar Mahalik, 2020. "Investigating the environmental Kuznets’s curve for Sweden: evidence from multivariate adaptive regression splines (MARS)," Empirical Economics, Springer, vol. 59(4), pages 1883-1902, October.
- Gang Liu & Terje Skjerpen & Kjetil Telle, 2009.
"Unit roots, polynomial transformations and the environmental Kuznets curve,"
Applied Economics Letters, Taylor & Francis Journals, vol. 16(3), pages 285-288.
- Gang Liu & Terje Skjerpen & Anders Rygh Swensen & Kjetil Telle, 2006. "Unit Roots, Polynomial Transformations and the Environmental Kuznets Curve," Discussion Papers 443, Statistics Norway, Research Department.
- Aparicio, Felipe M., 2003. "On the record properties of integrated time series," DES - Working Papers. Statistics and Econometrics. WS ws036414, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Jurgen Holl & Robert Kunst, 2011.
"Unit root in unemployment - new evidence from nonparametric tests,"
Applied Economics Letters, Taylor & Francis Journals, vol. 18(6), pages 509-512.
- Jürgen Holl & Robert M. Kunst, 2009. "Unit Root in Unemployment - New Evidence from Nonparametric Tests," Vienna Economics Papers vie0915, University of Vienna, Department of Economics.
- Taipalus, Katja, 2006. "Bubbles in the Finnish and US equities markets," Scientific Monographs, Bank of Finland, number 35/2006.
- Yoon, Gawon, 2005. "Long-memory property of nonlinear transformations of break processes," Economics Letters, Elsevier, vol. 87(3), pages 373-377, June.
- Franses, Philip Hans & Koop, Gary, 1998. "On the sensitivity of unit root inference to nonlinear data transformations," Economics Letters, Elsevier, vol. 59(1), pages 7-15, April.