Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes

DOI10.1016/S0304-4076(99)00050-0MaRDI QIDQ1973429zbMATH OpenFDO

Authors Valentina Corradi, Norman R. Swanson, Halbert White

Publication date 2000

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

Full work available at URL https://doi.org/10.1016/S0304-4076(99)00050-0

zbMATH Keywords

CointegrationLinear stochastic comovementMarkov processesNonlinearities

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• A Consistent Conditional Moment Test of Functional Form
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• Threshold Cointegration

Cited in

(16)

• Nonlinear stochastic trends
• The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications
• Stability results for nonlinear error correction models
• Testing for short-run threshold effects in a vector error-correction framework: a reappraisal of the stability of the US money demand
• Introduction to m-m processes
• The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
• Estimation of nonlinear error correction models
• STABILITY OF REGIME SWITCHING ERROR CORRECTION MODELS UNDER LINEAR COINTEGRATION
• DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• Nonparametric nonstationarity tests
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Testing for strict stationarity in a random coefficient autoregressive model
• A consistent nonparametric test of ergodicity for time series with applications
• Approximation with ergodic processes and testability
• Likelihood-based inference for cointegration with nonlinear error-correction

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