Arbeitspapier
Nonlinear autoregressive models and long memory
This note shows that regime switching nonlinear autoregressive models widely used in the time series literature can exhibit arbitrary degrees of long memory via appropriate definition of the model regimes.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 516
- Classification
-
Wirtschaft
Statistical Simulation Methods: General
- Subject
-
Long memory, Nonlinearity
Nichtlineares Verfahren
Autokorrelation
- Event
-
Geistige Schöpfung
- (who)
-
Kapetanios, George
- Event
-
Veröffentlichung
- (who)
-
Queen Mary University of London, Department of Economics
- (where)
-
London
- (when)
-
2004
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kapetanios, George
- Queen Mary University of London, Department of Economics
Time of origin
- 2004
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