A simple linear time series model with misleading nonlinear properties
From MaRDI portal
Publication:1606377
DOI10.1016/S0165-1765(99)00153-6zbMath1027.91512MaRDI QIDQ1606377
Bruno Eklund, Johan Lyhagen, Michael K. Adersson
Publication date: 1 September 2002
Published in: Economics Letters (Search for Journal in Brave)
91B84: Economic time series analysis
Related Items
A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY, Long memory and stochastic trend., A nonlinear long memory model, with an application to US unemployment., A permanent-transitory decomposition for ARFIMA processes
Cites Work