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Nonlinear error correction models
Author(s) -
ESCRIBANO ALVARO,
MIRA SANTIAGO
Publication year - 2002
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00276
Subject(s) - nonlinear system , context (archaeology) , mathematics , cointegration , extension (predicate logic) , error detection and correction , error correction model , representation (politics) , algorithm , mathematical optimization , econometrics , computer science , paleontology , physics , quantum mechanics , politics , political science , law , biology , programming language
The relationship between cointegration and error correction (EC) models is well characterized in a linear context, but the extension to the nonlinear context is still a challenge. Few extensions of the linear framework have been done in the context of nonlinear error correction (NEC) or asymmetric and time varying error correction models. In this paper, we propose a theoretical framework based on the concept of near epoch dependence (NED) that allows us to formally address these issues. In particular, we partially extend the Granger Representation Theorem to the nonlinear case.