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A simple nonlinear time series model with misleading linear properties

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Author Info

  • Granger, Clive W.J.

    () (University of California, San Diego. Mailing address:)

  • Teräsvirta, Timo

    () (Dept. of Economic Statistics, Stockholm School of Economics)

Abstract

This 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 Info

Paper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 237.

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Length: 5 pages
Date of creation: 01 Jun 1998
Date of revision:
Publication status: Published in Economics Letters, 1999, pages 161-165.
Handle: RePEc:hhs:hastef:0237

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Keywords: Autocorrelation; long memory; nonlinear time series; switching autoregression;

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  1. 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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