Nonlinear autoregressive models and long memory

DOI10.1016/J.ECONLET.2005.12.006zbMATH Open1255.62255OpenAlexW3122609809MaRDI QIDQ1929116

George Kapetanios

Publication date: 7 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/62801

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• A note on uniform asymptotic normality of intermediate order statistics
• Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
• A nonlinear long memory model, with an application to US unemployment.
• Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model
• Long memory and regime switching

Related Items (5)

Unnamed Item ⋮ Unnamed Item ⋮ Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model ⋮ ARCH-type bilinear models with double long memory. ⋮ Long Memory in Nonlinear Processes

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