A Generalization of the concept of cointegration to harmonizable and class (KF) processes

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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.
Original languageEnglish
Pages (from-to)519-530
Number of pages12
JournalEuropean journal of pure and applied mathematics
Volume3
Issue number3
Publication statusPublished - 2010

Keywords

  • Kampé de Fériet processes
  • non-stationary
  • harmonizable
  • cointegration
  • asymptotically stationary

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