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.

Year of publication:	1999-02-09
Authors:	Andersson, Michael K. ; Eklund, Bruno ; Lyhagen, Johan
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	Fractional integration \| Long memory \| Smooth transition autoregression

More details

Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Notes:	Published in Economics Letters, 1999, pages 281-284. The text is part of a series SSE/EFI Working Paper Series in Economics and Finance Number 300 5 pages
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005423859

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