Scandinavian Working Papers in Economics

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

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

Clive W.J. Granger () and Timo Teräsvirta ()
Additional contact information
Clive W.J. Granger: University of California, San Diego. Mailing address:, Postal: Department of Economics, 0508, University of California, San Diego, La Jolla, CA 92093-0508, USA
Timo Teräsvirta: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Mailing address: , Stockholm School of Economics, P.O. Box 6501, S-113 83 Stockholm, Sweden

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

JEL-codes: C22

5 pages, June 1, 1998

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