This paper introduces a new type of nonlinear model, the min-max model, and analyzes the properties for a pair of series. Stability conditions of this system are given for the nonlinearly integrated bivariate series. Under these stability conditions, the difference of the two series has a...

Possibly hitherto unnoticed cointegrating relationships among integrated components of data series are identified. If the components are cointegrated, the data are said to have hidden cointegration. The implication of hidden cointegration on modeling data series themselves is discussed through...