Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062823 | Economics Letters | 2006 | 9 Pages |
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
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
George Kapetanios,