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  • Search: subject:"nonlinear moving average. .: C22"
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ARCH 1 Long memory 1 nonlinear moving average. .: C22 1
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Book / Working Paper 1
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Undetermined 1
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Robinson, Peter M 1 Zaffaroni, Paolo 1
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Suntory and Toyota International Centres for Economics and Related Disciplines, LSE 1
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STICERD - Econometrics Paper Series 1
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Modelling Nonlinearity and Long Memory in Time Series - (Now published in 'Nonlinear Dynamics and Time Series', C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.61-170.)
Robinson, Peter M; Zaffaroni, Paolo - Suntory and Toyota International Centres for Economics … - 1997
We discuss models that impart a form of long memory in raw time series xt or instantaneous functions thereof, in particular . on the basis of a linear or nonlinear model. The capacity of linear models for xt to imply long-memory in nonlinear functions of xt is discussed. Empirical observation...
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