Journal articles
A smooth transition long-memory model
Abstract : This paper proposes a new fractional model with a time-varying long-memory parameter. The latter evolves nonlinearly according to a transition variable through a logistic function. We present an LR-Based test that allows to discriminate between the standard fractional model and our model. We further apply a nonlinear least squares estimation method to estimate the long-memory parameter. We present an application to the unemployment rate in the United States from 1948 to 2012.
Keywords :
Economie quantitative
https://hal-amu.archives-ouvertes.fr/hal-01498270
Contributor : Elisabeth Lhuillier Connect in order to contact the contributor
Submitted on : Wednesday, March 29, 2017 - 5:32:49 PM
Last modification on : Thursday, November 4, 2021 - 11:58:07 AM
Contributor : Elisabeth Lhuillier Connect in order to contact the contributor
Submitted on : Wednesday, March 29, 2017 - 5:32:49 PM
Last modification on : Thursday, November 4, 2021 - 11:58:07 AM
Links full text
