NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES

Clive W. J. Granger · Jeff Hallman

189 citations0/0 files storedJournal of Time Series Analysis

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Monetary Policy and Economic Impact Time Series Analysis and Forecasting Diverse Scientific and Economic Studies

Abstract

Abstract. In this paper we consider the effects of nonlinear transformations on integrated processes and unit root tests performed on such series. A test that is invariant to monotone data transformations is proposed. It is shown that series are generally not cointegrated with nonlinear transformations of themselves, but the same transformation applied to a pair of cointegrated series can result in cointegration between the transformed series.

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1987Time Series Regression with a Unit Root 1987Forecasting and testing in co-integrated systems

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1996Varieties of long memory models 2007An empirical test of the environmental Kuznets curve in China: A panel cointegration approach 2010The role of the log transformation in forecasting economic variables 2010Further Developments in the Study of Cointegrated Variables 2001Rank Tests for Nonlinear Cointegration 1991LONG MEMORY SERIES WITH ATTRACTORS 2002Properties of nonlinear transformations of fractionally integrated processes 2001A REVIEW OF SYSTEMS COINTEGRATION TESTS

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