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Nonlinear transformations of integrated time series. (English) Zbl 0721.62088

Summary: 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.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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[1] DOI: 10.1016/0304-4076(87)90085-6 · Zbl 0649.62108
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