S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
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

Download Statistics


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



Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:hastef:0237 This page was generated on 2014-12-14 19:22:55