A simple nonlinear time series model with misleading linear properties
Clive W. J. Granger, Timo Teräsvirta · RePEc: Research Papers in Economics · 1998
This paper shows how a simple univariate stationary nonlinear process has an autocorrelation function suggesting that the underlying process has a long memory, although that is not the case. The conclusion is that just considering linear properties of a process may be misleading.