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| Author: | Granger, C. |
| Title: | Modelling nonlinear relationships between extended-memory variables |
| Journal: | Econometrica
1995 : MAR, VOL. 63:2, p. 265-280 |
| Index terms: | MODELS WORK ECONOMICS |
| Language: | eng |
| Abstract: | Many economic variables have a persistence property which may be called extended memory and the relationship between variables may well be nonlinear. This pair of properties allow for many more types of model misspecification that encountered with stationary or short-memory variables and linear relationships, and misspecifications lead to greater modelling difficulties. Examples are given using the idea of a model being balanced. |
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