Granger, Clive W.J. () (University of California, San Diego. Mailing address:) Teräsvirta, Timo () (Dept. of Economic Statistics, Stockholm School of Economics)
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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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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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