A smooth transition long-memory model

Marcel Aloy, Gilles Dufrénot (), Charles Lai Tong and Peguin-Feissolle Anne
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Peguin-Feissolle Anne: Aix-Marseille University (Aix-Marseille School of Economics), CNRS & EHESS, GREQAM, Centre de la Charité, 2 rue de la Charité, 13236 Marseille Cedex 02, France

Studies in Nonlinear Dynamics & Econometrics, 2013, vol. 17, issue 3, 281-296

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: long-memory; non-linearity; time-varying parameter; logistic (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Working Paper: 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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DOI: 10.1515/snde-2012-0042

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