Scandinavian Working Papers in Economics
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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 237:
A simple nonlinear time series model with misleading linear properties

Clive W.J. Granger () and Timo Teräsvirta ()

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; (follow links to similar papers)

JEL-Codes: C22; (follow links to similar papers)

5 pages, June 1, 1998

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This paper is published as:
Granger, Clive W.J. and Timo Teräsvirta, (1999), 'A simple nonlinear time series model with misleading linear properties', Economics Letters, Vol. 62, pages 161-165

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