A Generalization of the Concept of Cointegration to Harmonizable and Class (KF) Processes

Authors

  • Roselyne Joyeux Faculty of Business and Economics, Macquarie University

Keywords:

Kampé de Fériet processes, Non-stationary, Harmonizable, Cointegration, Asymptotically stationary.

Abstract

In this paper we consider the generalization of the concept of cointegration to non-stationary processes which are not necessarily I(d). Two cases are of special interest. First the case of non-stationary processes which adjust to an equilibrium not necessarily according to a linear adjustment process. Second the case of non-stationary (possibly I(1)) series which co-move according to a non linear or heteroscedastic adjustment process . The non-stationary processes considered here belong to the Kampé de Fériet (KF) class.

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Issue

Vol. 3 No. 3 (2010): Special Issue on Granger Econometrics and Statistical Modeling

License

Upon acceptance of an article by the journal, the author(s) accept(s) the transfer of copyright of the article to European Journal of Pure and Applied Mathematics.

European Journal of Pure and Applied Mathematics will be Copyright Holder.

How to Cite

A Generalization of the Concept of Cointegration to Harmonizable and Class (KF) Processes. (2010). European Journal of Pure and Applied Mathematics, 3(3), 519-530. https://www.ejpam.com/index.php/ejpam/article/view/804