Some generalizations on the algebra of I(1) processes

DOI10.1016/0304-4076(93)90050-FzbMath0772.62065OpenAlexW2048086310MaRDI QIDQ1260678

Luigi Ermini, Clive W. J. Granger

Publication date: 25 August 1993

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

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90050-f

zbMATH Keywords

Hermite polynomialsunified approachpolynomial transformationsperiodic transformationsexponential transformationsfirst-order integrated processesneural-network transformationsnonlinear transformations of stochastic processestemporal properties of nonlinear transformations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stochastic processes (60G99)

Related Items (8)

Unnamed Item ⋮ SUMS OF EXPONENTIALS OF RANDOM WALKS WITH DRIFT ⋮ Varieties of long memory models ⋮ Long-memory property of nonlinear transformations of break processes ⋮ NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION ⋮ Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes ⋮ Testing for unit roots in the context of misspecified logarithmic random walks. ⋮ Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers

Uses Software

• nlmdl

Cites Work

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• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• Some Asymptotic Results for Learning in Single Hidden-Layer Feedforward Network Models
• NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

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