Can we distinguish between common nonlinear time series models and long memory?
AbstractWe show that specific nonlinear time series models such as SETAR, LSTAR, ESTAR and Markov switching which are common in econometric practice can hardly be distinguished from long memory by standard methods such as the GPH estimator for the memory parameter or linearity tests either general or against a specific nonlinear model. We show by Monte Carlo that under certain conditions, the nonlinear data generating process can have misleading either stationary or non-stationary long memory properties.
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Bibliographic InfoPaper provided by Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät in its series Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover with number dp-380.
Length: 29 pages
Date of creation: Nov 2007
Date of revision:
Nonlinear models; long-range dependencies;
Find related papers by JEL classification:
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-11-24 (All new papers)
- NEP-ECM-2007-11-24 (Econometrics)
- NEP-ETS-2007-11-24 (Econometric Time Series)
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- Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃ¤t der Leibniz UniversitÃ¤t Hannover dp-410, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Busch, Ulrike & Nautz, Dieter, 2009.
"Controllability and persistence of money market rates along the yield curve: evidence from the euro area,"
2009/5, Free University Berlin, School of Business & Economics.
- Ulrike Busch & Dieter Nautz, 2010. "Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area," German Economic Review, Verein für Socialpolitik, vol. 11, pages 367-380, 08.
- Ulrike Busch & Dieter Nautz, 2009. "Controllability and Persistence of Money Market Rates along the Yield Curve: Evidence from the Euro Area," SFB 649 Discussion Papers SFB649DP2009-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Kuswanto, Heri, 2009. "A New Simple Test Against Spurious Long Memory Using Temporal Aggregation," Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃ¤t der Leibniz UniversitÃ¤t Hannover dp-425, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
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