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

Abstract

Granger and Terasvirta provided an abstract example of a non-linear model that can generate data with the misleading linear property of long memory. They suggested that other non-linear models with this property are worth searching for. The empirical results of this article indicate that data generated from an exponential smooth transition autoregressive model can exhibit the long memory property whether in raw or temporally aggregated form.