We apply nonparametric estimation theory in the framework of null recurrent Markov chains. In particular we show how a transfer function can be estimated and indicate connections to nonlinear cointegration.

In this paper we introduce a class of nonlinear data generating processes (DGPs) that are "rst order Markov and can be represented as the sum of a linear plus a bounded nonlinear component. We use the concepts of geometric ergodicity and of linear stochastic comovement, which correspond to the linear concepts of integratedness and cointegratedness, to characterize the DGPs. We show that the sta...

We consider Johansen’s (1988, 1991) cointegration tests when a Vector AutoRegressive (VAR) process of order k is used to approximate a more general linear process with a possibly infinite VAR representation. Traditional methods to select the lag order, such as Akaike’s (AIC) or the Bayesian information criteria, often lead to too parsimonious a model with the implication that the cointegration ...

improved the exposition, but they are in no way responsible for remaining flaws. Engle's footsteps range widely. His major contributions include early work on band-spectral regression, development and unification of the theory of model specification tests (particularly Lagrange multiplier tests), clarification of the meaning of econometric exogeneity and its relationship to causality, and his l...

The standard intertemporal model of open economy with a dynamic budget constraint predicts that investment and saving should be cointegrated as long as the economy does not violate its budget constraint. Recent empirical studies of the long run investment-saving comovement for the 1947:1–1987:3 period US data, however, report conflicting findings: some studies find that the time series of inves...

In this paper we apply a thorough cointegration analysis to annual time-series data for the U.K. in the period, 1948-1997, to examine whether government revenue and expenditure have been congruent. The data do provide considerable evidence of a cointegrated long-run relation between government revenue and expenditure in the U.K. during this period implying that the two have been congruent in th...

An avalanche of articles has described the testing of a time series for the presence of unit roots. However, economic model builders have disagreed on the value of testing and how best to operationalise the tests. Sometimes the characterization of the series is an end in itself. More often, unit root testing is a preliminary step, followed by cointegration testing, intended to guide final model...