A generalization of the concept of cointegration to harmonizable and class (KF) processes

Abstract

In this paper we consider the generalization of the concept of cointegration to non-stationary processes which are not necessarily I (d). Two cases are of special interest. First the case of nonstationary processes which adjust to an equilibrium not necessarily according to a linear adjustment process. Second the case of non-stationary (possibly I (1)) series which co-move according to a non linear or heteroscedastic adjustment process . The non-stationary processes considered here belong to the Kampé de Fériet (KF) class. 2000 Mathematics Subject Classifications: 91B84,62M10,42B10,42A38