Arbeitspapier
A Study on spurious long memory in nonlinear time series models
This paper discusses the existence of spurious long memory in common nonlinear time series models, namely Markov switching and threshold models. We describe the asymptotic behavior of the process in terms of autocovariance and autocorrelation function and support the theoretical evidences by providing Monte Carlo simulation. The existence of long memory in these nonlinear processes is induced by the nature of the process in certain conditions. In addition, GPH estimator itself introduces bias.
- Sprache
-
Englisch
- Erschienen in
-
Series: Diskussionsbeitrag ; No. 410
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
Long memory
nonlinear time series
regime switching
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kuswanto, Heri
Sibbertsen, Philipp
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (wo)
-
Hannover
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kuswanto, Heri
- Sibbertsen, Philipp
- Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Entstanden
- 2008
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