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A smooth transition long-memory model

Marcel Aloy 1 Gilles Dufrénot 1, 2, 3 Charles Lai-Tong 1 Anne Peguin-Feissolle 1
1 GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille
2 Centre de recherche de la Banque de France
3 CEPII - Centre d'Etudes Prospectives et d'Informations Internationales
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
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Journal articles
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Submitted on : Wednesday, March 29, 2017 - 5:32:49 PM
Last modification on : Wednesday, August 5, 2020 - 3:16:56 AM

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Marcel Aloy, Gilles Dufrénot, Charles Lai-Tong, Anne Peguin-Feissolle. A smooth transition long-memory model. Studies in Nonlinear Dynamics and Econometrics, MIT Press, 2013, 17 (3), pp.281--296. ⟨10.1515/snde-2012-0042⟩. ⟨hal-01498270⟩

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