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A simple nonlinear time series model with misleading linear properties

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Granger, Clive W. J.
Terasvirta, Timo

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File URL: http://www.sciencedirect.com/science/article/B6V84-3Y8WGTG-V/2/5d2915921197c30107f27a5b0c683746
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 62 (1999)
Issue (Month): 2 (February)
Pages: 161-165
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Handle: RePEc:eee:ecolet:v:62:y:1999:i:2:p:161-165

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  2. Chung-Ming Kuan & Wei-Ming Lee, 2004. "A New Test of the Martingale Difference Hypothesis," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(4), pages 1191-1191. [Downloadable!] (restricted)
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  4. David Peel & David Byers & Dennis Thomas, 2005. "Habit, aggregation and long memory: evidence from television audience data," Working Papers 002500, Lancaster University Management School, Economics Department. [Downloadable!]
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  5. Silvestro Di Sanzo, 2007. "Forecasting Time Series with Long Memory and Level Shifts, A Bayesian Approach," Working Papers 2007_03, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
  6. Lux, Thomas & Kaizoji, Taisei, 2006. "Forecasting volatility and volume in the Tokyo stock market : long memory, fractality and regime switching," Economics working papers 2006,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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  7. Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2008. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers 1652, Cowles Foundation, Yale University. [Downloadable!]
  8. Clive W.J. Granger & Namwon Hyung, 1999. "Occasional Structural Breaks and Long Memory," University of California at San Diego, Economics Working Paper Series 99-14, Department of Economics, UC San Diego. [Downloadable!]
  9. Yi-Ting Chen, 2002. "On the Robustness of Ljung-Box and McLeod-Li Q Tests: A Simulation Study," Economics Bulletin, Economics Bulletin, vol. 3(17), pages 1-10. [Downloadable!]
  10. Alfarano, Simone & Lux, Thomas, 2005. "A Noise Trader Model as a Generator of Apparent Financial Power Laws and Long Memory," Economics working papers 2005,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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  11. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2004. "Long range dependence in daily stock returns," Applied Financial Economics, Taylor and Francis Journals, vol. 14(6), pages 375-383, March. [Downloadable!] (restricted)
  12. Alfarano, Simone & Lux, Thomas, 2006. "A minimal noise trader model with realistic time series properties," Economics working papers 2006,11, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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  13. Cees Diks & Valentyn Panchenko, 2005. "Nonparametric Tests for Serial Independence Based on Quadratic Forms," Tinbergen Institute Discussion Papers 05-076/1, Tinbergen Institute. [Downloadable!]
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  14. Gourieroux, Christian & Josiak, Joann, 1999. "Nonlinear persistence and copersistence," CEPREMAP Working Papers (Couverture Orange) 9920, CEPREMAP. [Downloadable!]
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  15. Vasco J. Gabriel & Luis F. Martins, 2000. "The Forecast Performance of Long Memory and Markov Switching Models," NIPE Working Papers 2/2000, NIPE - Universidade do Minho. [Downloadable!]
  16. D. van Dijk & T. Terasvirta & P.H. Franses, 2000. "Smooth transition autoregressive models - A survey of recent developments," Econometric Institute Report 200, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  18. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  19. Jerry Coakley & Ana-María Fuertes & Gylfi Zoega, 2001. "Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 5(3), pages 1078-1078. [Downloadable!] (restricted)
  20. D.J.C. Van Dijk & P.H. Franses & R. Paap, 2000. "A nonlinear long memory model for US unemployment," Econometric Institute Report 204, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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