A simple linear time series model with misleading nonlinear properties
AbstractThis paper demonstrates that long memory leads to spurious rejection of the linearity hypothesis, when a STAR specification constitutes the alternative.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 65 (1999)
Issue (Month): 3 (December)
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Other versions of this item:
- Andersson, Michael K. & Eklund, Bruno & Lyhagen, Johan, 1999. "A Simple Linear Time Series Model with Misleading Nonlinear Properties," Working Paper Series in Economics and Finance 300, Stockholm School of Economics.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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