What's new

New Discussion paper: Testing for co-non-linearity

posted Jul 12, 2012, 12:22 AM by Håvard Hungnes

Abstract: This article introduces the concept of co-non-linearity. Co-non-linearity is an example of a common feature in time series (Engle and Koziciki, 1993, J. Bus. Econ. Statist.) and an extension of the concept of common nonlinear components (Anderson and Vahid, 1998, J. Econometrics). If some time series follow a non-linear process but there exists a linear relationship between the levels of these series that removes the non-linearity, then this relationship is said to be a co-non-linear relationship. In this article I show how to determine the number of such co-non-linear relationships. Furthermore, I show how to formulate hypothesis tests on the co-non-linear relationships in a full maximum likelihood framework.
 

GRaM - minor update and fixed download problem

posted Jul 1, 2010, 5:17 AM by Håvard Hungnes

Today I have updated GRaM so it can handle GRaM specific batch code. Furthermore I have fixed a download problem with the previous version.

New homepage

posted Nov 25, 2009, 6:53 AM by Håvard Hungnes

I have updated my hompage. Hopefully it will be easer to navigate for the users, and easier for me to update.

1-3 of 3