A Simple Linear Time Series Model with Misleading Nonlinear Properties

Michael K. Andersson, Bruno Eklund and Johan Lyhagen ()
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Michael K. Andersson: Dept. of Economic Statistics, Stockholm School of Economics, Postal: P.O. Box 6501, S-113 83 Stockholm, Sweden

No 300, SSE/EFI Working Paper Series in Economics and Finance from Stockholm School of Economics

Abstract: This paper demonstrates that long memory leads to spurious rejection of the linearity hypothesis, when a STAR specification constitutes the alternative.

Keywords: Fractional integration; Long memory; Smooth transition autoregression (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 5 pages
Date: 1999-02-09
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (11)

Published in Economics Letters, 1999, pages 281-284.

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Journal Article: A simple linear time series model with misleading nonlinear properties (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:hastef:0300

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