Nonlinear stochastic trends

DOI10.1016/S0304-4076(97)00034-1zbMATH Open0944.62122OpenAlexW2070232471MaRDI QIDQ1372923FDOQ1372923

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

Recommendations

• Vector autoregressive processes with nonlinear time trends in cointegrating relations
• Stochastic and deterministic trend models
• scientific article; zbMATH DE number 1168350
• Nonlinear econometric models with cointegrated and deterministically trending regressors

zbMATH Keywords

cointegrationnonlinear error-correction modelnonlinear growth process

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
• On the asymptotic behaviour of discrete time stochastic growth processes
• Stochastic difference equations and generalized gamma distributions
• On recurrence and transience of growth models
• Asymptotic growth of controlled Galton-Watson processes
• A law of large numbers for stochastic difference equations

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
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• MODELS THAT GENERATE TRENDS
• Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
• On the sensitivity of unit root inference to nonlinear data transformations
• Stochastic trends based on fuzzy mathematics
• Dynamic regression models with stochastic trends: an application to the unemployment-growth relation
• A semiparametric method for estimating nonlinear autoregressive model with dependent errors
• 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

This page was built for publication: Nonlinear stochastic trends

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1372923)