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Another example of a non-linear time series with misleading linear properties

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  • J. D. Byers
  • D. A. Peel

Abstract

Granger and Terasvirta provided an abstract example of a non-linear model that can generate data with the misleading linear property of long memory. They suggested that other non-linear models with this property are worth searching for. The empirical results of this article indicate that data generated from an exponential smooth transition autoregressive model can exhibit the long memory property whether in raw or temporally aggregated form.

Suggested Citation

  • J. D. Byers & D. A. Peel, 2003. "Another example of a non-linear time series with misleading linear properties," Applied Economics Letters, Taylor & Francis Journals, vol. 10(1), pages 47-51.
    • Handle: RePEc:taf:apeclt:v:10:y:2003:i:1:p:47-51
    DOI: 10.1080/13504850210161904
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    References listed on IDEAS

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    1. Bar-Ilan, Avner & Blinder, Alan S, 1992. "Consumer Durables: Evidence on the Optimality of Usually Doing Nothing," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 24(2), pages 258-272, May.
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    7. Byers, J D & Peel, D A, 2000. "Non-linear Dynamics of Inflation in High Inflation Economies," Manchester School, University of Manchester, vol. 68(0), pages 23-37, Supplemen.
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    Cited by:

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    2. Ahmad, Yamin & Craighead, William D., 2011. "Temporal aggregation and purchasing power parity persistence," Journal of International Money and Finance, Elsevier, vol. 30(5), pages 817-830, September.
    3. David G. McMillan, 2010. "Level‐shifts and non‐linearity in US financial ratios," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 9(2), pages 189-207, May.
    4. McMillan, David G., 2007. "Bubbles in the dividend-price ratio? Evidence from an asymmetric exponential smooth-transition model," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 787-804, March.
    5. David G. McMillan, 2009. "Are Uk Share Prices Too High? Fundamental Value Or New Era," Bulletin of Economic Research, Wiley Blackwell, vol. 61(1), pages 1-20, January.

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