Another example of a non-linear time series with misleading linear properties

Applied Economics Letters

Volumn 10, Issue 1, 2003, Pages 47-51

  Byers, J D ^a   Peel, D A ^a  

^a CARDIFF UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

METHODOLOGY; NONLINEARITY; TIME SERIES;

EID: 0037439535     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/13504850210161904     Document Type: Article

References (12)

1. Baillie, R. T., Cheung, C. F. and Tieslau, M. A. (1996) Analysing inflation by the fractionally integrated ARFIMA-GARCH model, Journal of Applied Econometrics, 11, 23-40.
2. Bar-Ilan, A. and Blinder, A. S. (1992) Consumer durables: evidence on the optimality of usually doing nothing, Journal of Money Credit and Banking, 24, 258-72.
3. Byers, J. D. and Peel, D. A. (2000) Non-linear dynamics of inflation in high inflation economies, The Manchester School, 68, 23-37.
4. Caballero, R. J. (1995) Near-rationality, heterogeneity and aggregate consumption, Journal of Money Credit and Banking, 27, 30-47.
5. Dumas, B. (1992) Dynamic equilibrium and the real exchange rate in a spatially separated world, Review of Financial Studies, 5, 153-80.
6. Engle, R. F. and Smith, A. D. (1998) Stochastic permanent breaks. UCSD economics discussion paper 98-03.
7. Granger, C. W. J. and Hyung, N. (1999) Occasional structural breaks and long memory, UCSD economics discussion paper, 99-14.
8. Granger, C. W. J. and Terasvirta, T. (1999) A simple nonlinear time series model with misleading linear properties. Economics Letters, 62, 161-65.
9. Lo, A. W. (1991) Long-term memory in stock market prices, Econometrica, 59, 1279-1313.
10. Michael, P., Nobay, R. and Peel, D. A. (1997) Transactions cost and nonlinear adjustment in real exchange rates: an empirical investigation, The Journal of Political Economy, 105, 862-79.
11. Sargent, T. J. and Wallace, N. (1973) Rational expectations and the dynamics of hyperinflation, International Economic Review, 14, 328-50.
12. Whittle, P. (1953) The analysis of multiple time series, Journal of the Royal Statistical Society Series B, 15, 125-39.