Nonlinear autoregressive models and long memory

被引：6

作者：

Kapetanios, G ^{[1
]}

机构：

[1] Univ London, Dept Econ, London E1 4NS, England

来源：

ECONOMICS LETTERS | 2006年 / 91卷 / 03期

关键词：

long memory; nonlinearity;

D O I：

10.1016/j.econlet.2005.12.006

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：360 / 368

页数：9

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