School of Economics and Finance

No. 516: Nonlinear Autoregressive Models and Long Memory

George Kapetanios , Queen Mary, University of London

July 1, 2004

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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