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Leibniz Universität Hannover >
Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/27190
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Kuswanto, Heri | | en_US |
| dc.contributor.author | | Sibbertsen, Philipp | | en_US |
| dc.date.accessioned | | 2007-11-20 | | en_US |
| dc.date.accessioned | | 2009-08-06T13:11:11Z | | - |
| dc.date.available | | 2009-08-06T13:11:11Z | | - |
| dc.date.issued | | 2007 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/27190 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Fachbereich Wirtschaftswiss., Univ. Hannover | | en_US |
| dc.relation.ispartofseries | | Discussion papers // School of Economics and Management of the Hanover Leibniz University 380 | | en_US |
| dc.subject.jel | | C12 | | en_US |
| dc.subject.jel | | C22 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Nonlinear models | | en_US |
| dc.subject.keyword | | long - range dependencies | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | Nichtlineares Verfahren | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Can we distinguish between common nonlinear time series models and long memory? | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 549847294 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover
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