European Business Schools Librarian's Group

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

Download statistics

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 ().

RePEc:hhs:hastef:0237This page generated on 2024-09-13 22:19:41.