Nonlinear autoregressive models and long memory
نویسندگان
چکیده
منابع مشابه
Nonlinear Autoregressive Models and Long Memory
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.
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ژورنال
عنوان ژورنال: Economics Letters
سال: 2006
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2005.12.006