A simple nonlinear time series model with misleading linear properties

Clive W. J. Granger and Timo Teräsvirta ()

No 237, Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: 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.

Keywords: Autocorrelation; long memory; nonlinear time series; switching autoregression (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dge, nep-ecm, nep-ets and nep-ifn
Date: 1998-06-01

Published in Economics Letters, 1999, pages 161-165.

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Persistent link: http://EconPapers.repec.org/RePEc:hhs:hastef:0237

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