No. 516: Nonlinear Autoregressive Models and Long Memory
George Kapetanios ,
Queen Mary, University of London
July 1, 2004
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.
J.E.L classification codes: C15
Keywords:Long memory, Nonlinearity