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11 Nonlinear and nonstationary models

Timo Teräsvirta, Dag Tjøstheim, and W. J. Granger

in Modelling Nonlinear Economic Time Series

Published in print:
2010
Published Online:
May 2011
ISBN:
9780199587148
eISBN:
9780191595387
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199587148.003.0011
Subject:
Economics and Finance, Econometrics

Long memory, unit root models and cointegration are important in linear modelling of nonstationary processes, not the least in econometrics. Recently, nonlinear generalizations of these concepts have ... More


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