Nonlinear Autoregressive Models and Long Memory

No 516, Working Papers from Queen Mary University of London, School of Economics and Finance

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.

Keywords: Long memory; Nonlinearity (search for similar items in EconPapers)
JEL-codes: C15 (search for similar items in EconPapers)
Date: 2004-07-01
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Journal Article: Nonlinear autoregressive models and long memory (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:qmw:qmwecw:516

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