A Simple Linear Time Series Model with Misleading Nonlinear Properties
This paper demonstrates that long memory leads to spurious rejection of the linearity hypothesis, when a STAR specification constitutes the alternative.
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|Date of creation:||09 Feb 1999|
|Publication status:||Published in Economics Letters, 1999, pages 281-284.|
|Contact details of provider:|| Postal: The Economic Research Institute, Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden|
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