Nonlinear stochastic trends

DOI10.1016/S0304-4076(97)00034-1MaRDI QIDQ1372923zbMATH OpenOpenAlexFDO

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

Publication date 24 September 2000

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

Full work available at URL https://doi.org/10.1016/s0304-4076(97)00034-1

zbMATH Keywords

cointegrationnonlinear error-correction modelnonlinear growth process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 48302 (Why is no real title available?)
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 1898277 (Why is no real title available?)
• A law of large numbers for stochastic difference equations
• Asymptotic growth of controlled Galton-Watson processes
• On recurrence and transience of growth models
• On the asymptotic behaviour of discrete time stochastic growth processes
• Stochastic difference equations and generalized gamma distributions
• Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes

Cited in

(16)

• Some generalizations on the algebra of I(1) processes
• Sir Clive Granger's contributions to nonlinear time series and econometrics
• Long memory and stochastic trend.
• Stochastic and deterministic trend models
• Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• MODELS THAT GENERATE TRENDS
• On the sensitivity of unit root inference to nonlinear data transformations
• Stochastic trends based on fuzzy mathematics
• A semiparametric method for estimating nonlinear autoregressive model with dependent errors
• Dynamic regression models with stochastic trends: an application to the unemployment-growth relation
• Recurrence and Transience of Near-Critical Multivariate Growth Models: Criteria and Examples
• Markov-switching stochastic trends and economic fluctuations
• Nonlinear trend exclusion procedure for models defined by stochastic differential and difference equations
• Specification testing in nonlinear and nonstationary time series autoregression
• A new class of nonlinear integrated models

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