A Smooth Transition Long-Memory Model
Marcel Aloy,
Gilles Dufrénot (gilles.dufrenot@sciencespo-aix.fr),
Charles Lai Tong and
Anne Péguin-Feissolle (anne.peguin@univ-amu.fr)
Additional contact information
Anne Péguin-Feissolle: Aix-Marseille University (Aix-Marseille School of Economics), CNRS & EHESS, http://www.greqam.fr/en/users/peguin-feissolle#profile-chercheur
No 1240, AMSE Working Papers from Aix-Marseille School of Economics, France
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 a LR-based test that allows to discriminate between the standard fractional model and our model. We further apply the nonlinear least squares 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; nonlinearity; time varying parameter; logistic. (search for similar items in EconPapers)
JEL-codes: C22 C51 C58 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2012-12, Revised 2012-12
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (4)
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http://www.amse-aixmarseille.fr/sites/default/files/_dt/2012/wp_2012_-_nr_40.pdf (application/pdf)
Related works:
Journal Article: A smooth transition long-memory model (2013)
Working Paper: A smooth transition long-memory model (2013)
Working Paper: A Smooth Transition Long-Memory Model (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:aim:wpaimx:1240
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