A Simple Linear Time Series Model with Misleading Nonlinear Properties
AbstractThis paper demonstrates that long memory leads to spurious rejection of the linearity hypothesis, when a STAR specification constitutes the alternative.
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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 300.
Length: 5 pages
Date of creation: 09 Feb 1999
Date of revision:
Publication status: Published in Economics Letters, 1999, pages 281-284.
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Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden
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Fractional integration; Long memory; Smooth transition autoregression;
Other versions of this item:
- Andersson, Michael K. & Eklund, Bruno & Lyhagen, Johan, 1999. "A simple linear time series model with misleading nonlinear properties," Economics Letters, Elsevier, vol. 65(3), pages 281-284, December.
- 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 &bull Diffusion Processes
This paper has been announced in the following NEP Reports:
- NEP-ALL-1999-02-15 (All new papers)
- NEP-ECM-1999-02-22 (Econometrics)
- NEP-ETS-1999-02-15 (Econometric Time Series)
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- Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Diskussionspapiere der Wirtschaftswissenschaftlichen FakultÃ¤t der Leibniz UniversitÃ¤t Hannover dp-427, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Sang-Kuck Chung, 2006. "The out-of-sample forecasts of nonlinear long-memory models of the real exchange rate," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(4), pages 355-370.
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