A simple nonlinear time series model with misleading linear properties

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.

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Year of publication:	1998-06-01
Authors:	Granger, Clive W.J. ; Teräsvirta, Timo
Institutions:	Economics Institute for Research (SIR), Handelshögskolan i Stockholm
Subject:	Autocorrelation \| long memory \| nonlinear time series \| switching autoregression

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Series:	SSE/EFI Working Paper Series in Economics and Finance.
Type of publication:	Book / Working Paper
Notes:	Published in Economics Letters, 1999, pages 161-165. The text is part of a series Working Paper Series in Economics and Finance Number 237 5 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005649197