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

Abstract

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

Kapetanios, George, Nonlinear Autoregressive Models and Long Memory (July 2004). Queen Mary, University of London Economics Working Paper No. 516, Available at SSRN: https://ssrn.com/abstract=568843 or http://dx.doi.org/10.2139/ssrn.568843

George Kapetanios (Contact Author)

King's College, London ( email )

30 Aldwych
London, WC2B 4BG
United Kingdom
+44 20 78484951 (Phone)

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