Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance

Softcover Nachdruck of hardcover 1. Auflage 2002
ISBN: 978-1-4419-5276-9
Verlag: Springer US

Buch, Englisch, 300 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 499 g

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).

Zielgruppe

Research

Autoren/Hrsg.

Mignon, Valérie

Dufrénot, Gilles

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Geldwirtschaft, Währungspolitik
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Makroökonomie
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik

Inhaltsverzeichnis

1. Introduction.- 1 Combining the hypotheses of nonstationarity and nonlinearity.- 2 A brief review of some nonlinear models.- 3 Unit root and stationarity tests.- 2. Are the Unit-Root Tests Adequate for Nonlinear Models?.- 1 Introduction.- 2 Examples of nonlinear models with unit roots and longmemory.- 3 Monte Carlo experiments: applying the classical tests to nonlinear models.- 4 Extensions of traditional unit root tests based on ADF regressions.- 5 Nonlinear stochastic and deterministic trends.- 6 Data analysis on macroeconomic and financial variables.- 3. Nonlinear Measures of Persistence in Time Series.- 1 Introduction.- 2 Short memory and extended memory variables.- 3 Mixing conditions.- 4 kth-order dependence in time series.- 5 Correlation and entropy measures.- 4. Nonlinear Equilibration, Cointegration and NEC Models.- 1 Introduction.- 2 Nonlinear equilibration.- 3 Nonlinear cointegration.- 4 Nonlinear co-trending between a set of variables.- 5. Asymmetric and Threshold Nonlinear Error-Correction Models.- 1 Introduction.- 2 Asymmetries in partial adjustment models.- 3 Threshold autoregressive NEC models.- References.