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Long-memory property of nonlinear transformations of break processes

  • Yoon, Gawon
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    File URL: http://www.sciencedirect.com/science/article/B6V84-4G002HJ-4/2/5504b19076d3f9e57a0ed00f04514fdc
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 87 (2005)
    Issue (Month): 3 (June)
    Pages: 373-377

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    Handle: RePEc:eee:ecolet:v:87:y:2005:i:3:p:373-377
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Luigi Ermini & Clive W.J. Granger, 1991. "Some Generalizations on the Algebra of I(1) Processes," Working Papers 199113, University of Hawaii at Manoa, Department of Economics.
    2. Dittmann, Ingolf & Granger, Clive W. J., 2002. "Properties of nonlinear transformations of fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 110(2), pages 113-133, October.
    3. 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.
    4. de Jong, Robert & Wang, Chien-Ho, 2005. "Further Results On The Asymptotics For Nonlinear Transformations Of Integrated Time Series," Econometric Theory, Cambridge University Press, vol. 21(02), pages 413-430, April.
    5. Park, Joon Y. & Phillips, Peter C.B., 1999. "Asymptotics For Nonlinear Transformations Of Integrated Time Series," Econometric Theory, Cambridge University Press, vol. 15(03), pages 269-298, June.
    6. Robert F. Engle & Aaron D. Smith, 1999. "Stochastic Permanent Breaks," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 553-574, November.
    7. Iliyan GEORGIEV, 2002. "Functional Weak Limit Theory for Rare Outlying Events," Economics Working Papers ECO2002/22, European University Institute.
    8. Diebold, Francis X. & Inoue, Atsushi, 2001. "Long memory and regime switching," Journal of Econometrics, Elsevier, vol. 105(1), pages 131-159, November.
    9. Leipus, Remigijus & Viano, Marie-Claude, 2003. "Long memory and stochastic trend," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 177-190, January.
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