Non-linearity and Non-stationarity in Dynamic Econometric Models.

Bowden, Roger J.

Recent years have seen attempts, by various different methods, to compute covariance and spectral properties for the endogenous variables of non-linear econometric models. By and large, these attempts have implicitly assumed that a more or less stationary system appertains; but the status of this assumption in the case of non-linear models is open to doubt. The basic purpose of this paper is to investigate conditions under which one can "swap" the problem of nonlinearity for that of nonstationarity. It establishes a class of models which can be treated as locally linear, and suggests that the resulting nonstationarity is of a relatively mild kind which can be handled by making use of the recent concept of the evolutionary spectrum.

NONLINEAR differential equations; ECONOMETRIC models; ECONOMETRICS; MATHEMATICAL models; ECONOMIC models; MATHEMATICAL economics; ECONOMICS

Review of Economic Studies, 1974, Vol 41, Issue 2, p173

0034-6527

Academic Journal

10.2307/2296711