关键词: 非线性协和, 强混合, 邻代依赖, 误差修正模型

Abstract: This paper provides an overview of the development of studies on the theory and methods of nonlinear cointegration until quite recently, including the concept and definition of nonlinear cointegration, the testing methods for nonstationarity of time series with nonlinear structure and for nonlinear cointegrating relationships, the parametrical and nonparametrical estimation methods for nonlinear cointegrating models, threshold cointegration model, and nonlinear error correction models .

Key words: nonlinear cointegration, strong mixing, near epoch dependence, error correction model