A Generalization of the Concept of Cointegration to Harmonizable and Class (KF) Processes
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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Special Issue on Granger Econometrics and Statistical Modeling
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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