Nonlinear Autoregressive Models and Long Memory

This note shows that regime switching nonlinear autoregressive models widely used in the time series literature can exhibit arbitrary degrees of long memory via appropriate definition of the model regimes.

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Year of publication:	2004-07
Authors:	Kapetanios, George
Institutions:	School of Economics and Finance, Queen Mary
Subject:	Long memory \| Nonlinearity

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 516
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005106351