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A simple nonlinear time series model with misleading linear properties

Author

Listed:
  • Granger, Clive W.J.

    (University of California, San Diego. Mailing address:)

  • Teräsvirta, Timo

    (Dept. of Economic Statistics, Stockholm School of Economics)

Abstract

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.

Suggested Citation

  • Granger, Clive W.J. & Teräsvirta, Timo, 1998. "A simple nonlinear time series model with misleading linear properties," SSE/EFI Working Paper Series in Economics and Finance 237, Stockholm School of Economics.
    • Handle: RePEc:hhs:hastef:0237
    as

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    References listed on IDEAS

    as
    1. Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July.
    2. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Autocorrelation; long memory; nonlinear time series; switching autoregression;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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