Summability of stochastic processes -- a generalization of integration for non-linear processes

DOI10.1016/j.jeconom.2013.08.031zbMath1293.62176MaRDI QIDQ2511790

Vanessa Berenguer-Rico, Jesús Gonzalo

Publication date: 6 August 2014

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.08.031

zbMATH Keywords

nonlinear processes; summability; co-integration; integrated processes; co-summability; nonlinear balanced relationships

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F10: Point estimation

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