Nonlinear persistence and copersistence

Christian Gourieroux; Joann Jasiak

doi:10.1057/9780230295216_4

Nonlinear persistence and copersistence

Christian Gourieroux
, Joann Jasiak

University of Toronto
INSEE
ENSAE
York University

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

This chapter examines relationships between various forms of persistence in nonlinear transformations of stationary and nonstationary processes. We introduce the concept of persistence space that is used to define the degrees of persistence in univariate and multivariate time series. For illustration, we examine and compare persistence in a fractionally integrated process and in a beta mixture of AR(1) processes. We also propose the concept of persistence by trajectory that allows us to define nonlinear cointegration and discuss identification problems that arise in this context.

Original language	English
Title of host publication	Nonlinear Financial Econometrics
Subtitle of host publication	Markov Switching Models, Persistence and Nonlinear Cointegration
Publisher	Palgrave Macmillan
Pages	77-103
Number of pages	27
ISBN (Electronic)	9780230295216
ISBN (Print)	9780230283640
DOIs	https://doi.org/10.1057/9780230295216_4
Publication status	Published - 1 Jan 2010
Externally published	Yes

Access to Document

10.1057/9780230295216_4

Cite this

@inbook{e0a57e61a9ef48d3994a1905a7176a66,

title = "Nonlinear persistence and copersistence",

abstract = "This chapter examines relationships between various forms of persistence in nonlinear transformations of stationary and nonstationary processes. We introduce the concept of persistence space that is used to define the degrees of persistence in univariate and multivariate time series. For illustration, we examine and compare persistence in a fractionally integrated process and in a beta mixture of AR(1) processes. We also propose the concept of persistence by trajectory that allows us to define nonlinear cointegration and discuss identification problems that arise in this context.",

author = "Christian Gourieroux and Joann Jasiak",

note = "Publisher Copyright: {\textcopyright} Christian Gourieroux and Joann Jasiak 2011.",

year = "2010",

month = jan,

day = "1",

doi = "10.1057/9780230295216\_4",

language = "English",

isbn = "9780230283640",

pages = "77--103",

booktitle = "Nonlinear Financial Econometrics",

publisher = "Palgrave Macmillan",

}

TY - CHAP

T1 - Nonlinear persistence and copersistence

AU - Gourieroux, Christian

AU - Jasiak, Joann

PY - 2010/1/1

Y1 - 2010/1/1

N2 - This chapter examines relationships between various forms of persistence in nonlinear transformations of stationary and nonstationary processes. We introduce the concept of persistence space that is used to define the degrees of persistence in univariate and multivariate time series. For illustration, we examine and compare persistence in a fractionally integrated process and in a beta mixture of AR(1) processes. We also propose the concept of persistence by trajectory that allows us to define nonlinear cointegration and discuss identification problems that arise in this context.

AB - This chapter examines relationships between various forms of persistence in nonlinear transformations of stationary and nonstationary processes. We introduce the concept of persistence space that is used to define the degrees of persistence in univariate and multivariate time series. For illustration, we examine and compare persistence in a fractionally integrated process and in a beta mixture of AR(1) processes. We also propose the concept of persistence by trajectory that allows us to define nonlinear cointegration and discuss identification problems that arise in this context.

U2 - 10.1057/9780230295216_4

DO - 10.1057/9780230295216_4

M3 - Chapter

AN - SCOPUS:85016734838

SN - 9780230283640

SP - 77

EP - 103

BT - Nonlinear Financial Econometrics

PB - Palgrave Macmillan

ER -

Nonlinear persistence and copersistence

Abstract

Access to Document

Fingerprint

Cite this