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A simple nonlinear time series model with misleading linear properties

  • Published:1999-02 Issue:2 Volume:62 Page:161-165
  • ISSN:0165-1765
  • Container-title:Economics Letters
  • language:en
  • Short-container-title:Economics Letters

Author:

Granger Clive W.J.,Teräsvirta Timo

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference7 articles.

1. Beran, J.A., 1994. Statistics For Long Memory Processes, Chapman and Hall, New York.

2. On the strong mixing property for Farkov chains with a countable number of states;Davydov;Dok. Akad. Nank. SSSR,1969

3. The estimation and application of long memory time series models;Geweke;Journal of Time Series Analysis,1983

4. An introduction to long memory time series models and fractional differencing;Granger;Journal of Time Series Analysis,1980

5. Varieties of long memory models;Granger;Journal of Econometrics,1996

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