Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/62801
Authors: 
Kapetanios, George
Year of Publication: 
2004
Series/Report no.: 
Working Paper, Department of Economics, Queen Mary, University of London 516
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.
Subjects: 
Long memory, Nonlinearity
JEL: 
C15
Document Type: 
Working Paper

Files in This Item:
File
Size
442.68 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.