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 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: time varying parameter; nonlinearity; Long-memory; logistic (search for similar items in EconPapers)
Date: 2012-12
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00793680
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Citations: View citations in EconPapers (1)

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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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