Resource title

Can we distinguish between common nonlinear time series models and long memory?

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image for OpenScout resource :: Can we distinguish between common nonlinear time series models and long memory?

Resource description

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.

Resource author

Heri Kuswanto, Philipp Sibbertsen

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/27190

Resource license

Adapt according to the presented license agreement and reference the original author.