Co-summability from linear to non-linear co-integration

Abstract

This thesis opens a new set of econometric possibilities in the study of non-linear \nlong run relationships generalizing co-integration theory. This generalization is presented in three \ndi¤erent, although self-contained, chapters. Chapter 1 presents the order of summability and its \nassociated econometric tools. Chapter 2 develops the ideas of balancedness and co-summability \nas well as the econometric theory to use them in practice. Their applicability is shown with two \nempirical illustrations: asymmetric preferences of central bankers and the environmental Kuznets \ncurve. Chapter 3 derives the threshold present value model for asset pricing and tests it using the \ntechniques developed in the two previous chapters. The corresponding appendices, collecting all the \nproofs, are at the end of each chapter

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