A smooth transition long-memory model

Marcel Aloy, Gilles Dufrénot (), Charles Lai-Tong and Anne Peguin-Feissolle
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Charles Lai-Tong: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique
Anne Peguin-Feissolle: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique
Authors registered in the RePEc Author Service: Charles Lai Tong

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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 (search for similar items in EconPapers)
Date: 2013-05
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Published in Studies in Nonlinear Dynamics and Econometrics, 2013, 17 (3), pp.281--296. ⟨10.1515/snde-2012-0042⟩

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Related works:
Journal Article: A smooth transition long-memory model (2013)
Working Paper: A Smooth Transition Long-Memory Model (2012)
Working Paper: A Smooth Transition Long-Memory Model (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01498270

DOI: 10.1515/snde-2012-0042

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