A simple nonlinear time series model with misleading linear properties
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Other versions of this item:
- 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.
References listed on IDEAS
- Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July.
More about this item
KeywordsAutocorrelation; long memory; nonlinear time series; switching autoregression;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-1998-07-06 (All new papers)
- NEP-DGE-1998-07-06 (Dynamic General Equilibrium)
- NEP-ECM-1998-07-13 (Econometrics)
- NEP-ETS-1998-07-06 (Econometric Time Series)
- NEP-IFN-1998-07-06 (International Finance)
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