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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 516
- Klassifikation
-
Wirtschaft
Statistical Simulation Methods: General
- Thema
-
Long memory, Nonlinearity
Nichtlineares Verfahren
Autokorrelation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kapetanios, George
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, Department of Economics
- (wo)
-
London
- (wann)
-
2004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kapetanios, George
- Queen Mary University of London, Department of Economics
Entstanden
- 2004
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