A Simple Linear Time Series Model with Misleading Nonlinear Properties
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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.
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More about this item
KeywordsFractional integration; Long memory; Smooth transition autoregression;
- 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; Diffusion Processes
NEP fieldsThis 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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