Nonlinearity, nonstationarity, and thick tails: how they interact to generate persistence in memory

DOI10.1016/j.jeconom.2009.09.014zbMath1431.62403OpenAlexW1567883602MaRDI QIDQ2630165

Joon Y. Park, J. Isaac Miller

Publication date: 25 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.09.014

zbMATH Keywords

random walksnonlinear transformationsstable distributionsthick tailspersistence in memory

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sums of independent random variables; random walks (60G50)

Related Items (8)

Nonstationary nonlinear heteroskedasticity in regression ⋮ Robust econometric inference with mixed integrated and mildly explosive regressors ⋮ Extracting a common stochastic trend: theory with some applications ⋮ Nonlinearity Induced Weak Instrumentation ⋮ Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach ⋮ Generating univariate fractional integration within a large VAR(1) ⋮ Learning can generate long memory ⋮ NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE

Cites Work

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• Long memory relationships and the aggregation of dynamic models
• Asymptotics for linear processes
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• Endogeneity in Nonlinear Regressions with Integrated Time Series
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Nonlinear Regressions with Integrated Time Series
• Econometric Theory and Practice

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