Nonlinear Autoregressive Models and Long Memory
Queen Mary, University of London Economics Working Paper No. 516
15 Pages Posted: 26 Jul 2004
Date Written: July 2004
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.
Keywords: Long memory, nonlinearity
JEL Classification: C15
Suggested Citation: Suggested Citation