SSE/EFI Working Paper Series in Economics and Finance
No 300:
A Simple Linear Time Series Model with Misleading Nonlinear Properties
Michael K. Andersson, Bruno Eklund ()
and Johan Lyhagen ()
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; (follow links to similar papers)
JEL-Codes: C12; C22; (follow links to similar papers)
5 pages, February 9, 1999
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- This paper is published as:
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Andersson, Michael K., Bruno Eklund and Johan Lyhagen, (1999), 'A Simple Linear Time Series Model with Misleading Nonlinear Properties', Economics Letters, Vol. 65, No. 3, pages 281-284
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