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Nonlinear Autoregressive Models and Long Memory

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Author Info
George Kapetanios () (Queen Mary, University of London)
Abstract

This note shows that regime switching nonlinear autoregressive models widely used in the time series literature can exhibit arbitrary degrees of long memory via appropriate definition of the model regimes.

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Paper provided by Queen Mary, University of London, Department of Economics in its series Working Papers with number 516.

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Date of creation: Jul 2004
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Handle: RePEc:qmw:qmwecw:wp516

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Related research
Keywords: Long memory; Nonlinearity;

Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

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This page was last updated on 2009-12-3.

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