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Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
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http://hdl.handle.net/10419/27190
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| Title: | | Can we distinguish between common nonlinear time series models and long memory?  |
| Authors: | | Kuswanto, Heri Sibbertsen, Philipp |
| Issue Date: | | 2007 |
| Series/Report no.: | | Discussion papers // School of Economics and Management of the Hanover Leibniz University 380 |
| Abstract: | | We show that specific nonlinear time series models such as SETAR, LSTAR, ESTAR and Markov switching which are common in econometric practice can hardly be distinguished from long memory by standard methods such as the GPH estimator for the memory parameter or linearity tests either general or against a specific nonlinear model. We show by Monte Carlo that under certain conditions, the nonlinear data generating process can have misleading either stationary or non-stationary long memory properties. |
| Subjects: | | Nonlinear models long - range dependencies |
| JEL: | | C12 C22 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover
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