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The Economic Research Institute, Stockholm School of Economics 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:
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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