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
Authors:	Kapetanios, George
Publisher:	London : Queen Mary University of London, Department of Economics
Subject:	Nichtlineares Verfahren \| Autokorrelation \| Long memory, Nonlinearity

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Series:	Working Paper ; 516
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	392138026 [GVK] hdl:10419/62801 [Handle]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	EconStor

Persistent link: https://www.econbiz.de/10010284101