کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096229 1376511 2014 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Summability of stochastic processes-A generalization of integration for non-linear processes
ترجمه فارسی عنوان
تعاملی فرآیندهای تصادفی-تعمیم ادغام فرآیندهای غیر خطی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
The order of integration is valid to characterize linear processes; but it is not appropriate for non-linear worlds. We propose the concept of summability (a re-scaled partial sum of the process being Op(1)) to handle non-linearities. The paper shows that this new concept, S(δ): (i) generalizes I(δ); (ii) measures the degree of persistence as well as of the evolution of the variance; (iii) controls the balancedness of non-linear relationships; (iv) opens the door to the concept of co-summability which represents a generalization of co-integration for non-linear processes. To make this concept empirically applicable, an estimator for δ and its asymptotic properties are provided. The finite sample performance of subsampling confidence intervals is analyzed via a Monte Carlo experiment. The paper finishes with the estimation of the degree of summability of the macroeconomic variables in an extended version of the Nelson-Plosser database.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 178, Part 2, January 2014, Pages 331-341
نویسندگان
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