{'fraction_non_alphanumeric': 0.014084507042253521, 'fraction_numerical': 0.0, 'mean_word_length': 5.272058823529412, 'pattern_counts': {'":': 0, '<': 0, '<?xml version=': 0, '>': 0, 'https://': 0, 'lorem ipsum': 0, 'www.': 0, 'xml': 0}, 'pii_count': 0, 'substrings_counts': 0, 'word_list_counts': {'cursed_substrings.json': 0, 'profanity_word_list.json': 0, 'sexual_word_list.json': 0, 'zh_pornsignals.json': 0}}
COMMON PERSISTENCE IN NONLINEAR AUTOREGRESSIVE MODELS BY H. PETER BOSWIJK AND PHILIP HANS FRANSES

In this paper we propose to consider a measure of the persistence of shocks of linear combinations of non-linear processes in order to investigate the possible presence of common long-run properties. We argue that such common persistence for non-linear time series corresponds to the concept of cointegration for linear time series. An application to logistic smooth transition autoregressive models for industrial production in Belgium, Germany and the USA yields that Belgium and Germany display common persistence, while the USA-Germany relation seems to be much weaker. Both authors thank the Royal Netherlands Academy of Arts and Sciences for its nancial support. Helpful discussions with Clive Granger and Simon Potter are gratefully acknowledged.