A simple nonlinear time series model with misleading linear properties

被引：100

作者：

Granger, CWJ ^{[1
]}

Teräsvirta, T

机构：

[1] Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA

[2] Stockholm Sch Econ, Dept Econ Stat, S-11383 Stockholm, Sweden

来源：

ECONOMICS LETTERS | 1999年 / 62卷 / 02期

关键词：

autocorrelation function; long memory; nonlinearity; short memory;

D O I：

10.1016/S0165-1765(98)00228-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper gives an example of a first-order nonlinear autoregressive time series model with short memory such that autocorrelations estimated from data generated by the model point at a long-memory model. (C) 1999 Elsevier Science S.A. All rights reserved.

引用

页码：161 / 165

页数：5