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

DOI10.1016/J.JECONOM.2009.09.014MaRDI QIDQ2630165zbMATH OpenOpenAlexFDO

Authors J. Isaac Miller, Joon Y. Park

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

nonlinear transformationspersistence in memoryrandom walksstable distributionsthick tails

Mathematics Subject Classification ID

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

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Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Asymptotics for linear processes
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Econometric Theory and Practice
• Endogeneity in nonlinear regressions with integrated time series
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 818203 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• scientific article; zbMATH DE number 3349105 (Why is no real title available?)
• Long memory relationships and the aggregation of dynamic models
• Nonlinear Regressions with Integrated Time Series
• Nonstationary nonlinear heteroskedasticity.

Cited in

(8)

• Generating univariate fractional integration within a large VAR(1)
• Learning can generate long memory
• Nonstationary nonlinear heteroskedasticity in regression
• Robust econometric inference with mixed integrated and mildly explosive regressors
• Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective
• Extracting a common stochastic trend: theory with some applications
• Nonlinearity induced weak instrumentation
• Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach

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