A simple nonlinear time series model with misleading linear properties

Clive Granger and Timo Teräsvirta

No 237, SSE/EFI 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)
Pages: 5 pages
Date: 1998-06-01
New Economics Papers: this item is included in nep-dge, nep-ecm, nep-ets and nep-ifn
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Published in Economics Letters, 1999, pages 161-165.

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Journal Article: A simple nonlinear time series model with misleading linear properties (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0237

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