Berenguer-Rico, Vanessa; Gonzalo, Jesús - In: Journal of Econometrics 178 (2014) P2, pp. 331-341
The order of integration is valid to characterize linear processes; but it is not appropriate for non-linear worlds. We propose the concept of summability (a re-scaled partial sum of the process being Op(1)) to handle non-linearities. The paper shows that this new concept, S(δ): (i) generalizes...