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
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
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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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