A simple nonlinear time series model with misleading linear properties
AbstractThis paper shows how a simple univariate stationary nonlinear process has an autocorrelation function suggesting that the underlying process has a long memory, although that is not the case. The conclusion is that just considering linear properties of a process may be misleading.
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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 237.
Length: 5 pages
Date of creation: 01 Jun 1998
Date of revision:
Publication status: Published in Economics Letters, 1999, pages 161-165.
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Autocorrelation; long memory; nonlinear time series; switching autoregression;
Other versions of this item:
- Granger, Clive W. J. & Terasvirta, Timo, 1999. "A simple nonlinear time series model with misleading linear properties," Economics Letters, Elsevier, vol. 62(2), pages 161-165, February.
- 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-1998-07-06 (All new papers)
- NEP-DGE-1998-07-06 (Dynamic General Equilibrium)
- NEP-ECM-1998-07-13 (Econometrics)
- NEP-ETS-1998-07-06 (Econometric Time Series)
- NEP-IFN-1998-07-06 (International Finance)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July.
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