Get 40% off our selection of bestselling print books in Engineering through October 31st!

Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance

Authors: Dufrénot, Gilles, Mignon, Valérie

Buy this book

eBook $129.00
price for USA in USD (gross)
  • ISBN 978-1-4757-3615-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $169.99
price for USA in USD
  • ISBN 978-1-4020-7029-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $169.99
price for USA in USD
  • ISBN 978-1-4419-5276-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

This book is an introductory exposition of different topics that emerged in the literature as unifying themes between two fields of econometrics of time series, namely nonlinearity and nonstationarity. Papers on these topics have exploded over the last two decades, but they are rarely ex­ amined together. There is, undoubtedly, a variety of arguments that justify such a separation. But there are also good reasons that motivate their combination. People who are reluctant to a combined analysis might argue that nonlinearity and nonstationarity enhance non-trivial problems, so their combination does not stimulate interest in regard to plausibly increased difficulties. This argument can, however, be balanced by other ones of an economic nature. A predominant idea, today, is that a nonstationary series exhibits persistent deviations from its long-run components (either deterministic or stochastic trends). These persistent deviations are modelized in various ways: unit root models, fractionally integrated processes, models with shifts in the time trend, etc. However, there are many other behaviors inherent to nonstationary processes, that are not reflected in linear models. For instance, economic variables with mixture distributions, or processes that are state-dependent, undergo episodes of changing dynamics. In models with multiple long-run equi­ libria, the moving from an equilibrium to another sometimes implies hys­ teresis. Also, it is known that certain shocks can change the economic fundamentals, thereby reducing the possibility that an initial position is re-established after a shock (irreversibility).

Table of contents (5 chapters)

  • Introduction

    Dufrénot, Gilles (et al.)

    Pages 1-43

  • Are the Unit-Root Tests Adequate for Nonlinear Models?

    Dufrénot, Gilles (et al.)

    Pages 45-115

  • Nonlinear Measures of Persistence in Time Series

    Dufrénot, Gilles (et al.)

    Pages 117-192

  • Nonlinear Equilibration, Cointegration and NEC Models

    Dufrénot, Gilles (et al.)

    Pages 193-265

  • Asymmetric and Threshold Nonlinear Error-Correction Models

    Dufrénot, Gilles (et al.)

    Pages 267-286

Buy this book

eBook $129.00
price for USA in USD (gross)
  • ISBN 978-1-4757-3615-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $169.99
price for USA in USD
  • ISBN 978-1-4020-7029-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $169.99
price for USA in USD
  • ISBN 978-1-4419-5276-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance
Authors
Copyright
2002
Publisher
Springer US
Copyright Holder
Springer Science+Business Media Dordrecht
eBook ISBN
978-1-4757-3615-1
DOI
10.1007/978-1-4757-3615-1
Hardcover ISBN
978-1-4020-7029-7
Softcover ISBN
978-1-4419-5276-9
Edition Number
1
Number of Pages
XXVIII, 300
Topics