SOME GENERALIZATIONS ON THE ALGEBRA OF I(1) PROCESSES

A number of techniques have recently appeared in the literature utiliz ing instantaneous nonlinear transformations of stochastic processes. A s in economics most variables appear to be nonstationary, it is intere sting to investigate the temporal properties of nonlinear transformati ons of these processes. Using a unified approach based on Hermite poly nomials, this paper provides some insight for polynomial, exponential, periodic, and neural-network transformations of first-order integrate d processes.