Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/27219
Authors: 
Kuswanto, Heri
Sibbertsen, Philipp
Year of Publication: 
2008
Series/Report no.: 
Discussion papers // School of Economics and Management of the Hanover Leibniz University 410
Abstract: 
This paper discusses the existence of spurious long memory in common nonlinear time series models, namely Markov switching and threshold models. We describe the asymptotic behavior of the process in terms of autocovariance and autocorrelation function and support the theoretical evidences by providing Monte Carlo simulation. The existence of long memory in these nonlinear processes is induced by the nature of the process in certain conditions. In addition, GPH estimator itself introduces bias.
Subjects: 
Long memory
nonlinear time series
regime switching
JEL: 
C12
C22
Document Type: 
Working Paper

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