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A Smooth Transition Long-Memory Model

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  • Marcel Aloy

    ()
    (AMSE - Aix-Marseille School of Economics - Aix-Marseille Univ. - Centre national de la recherche scientifique (CNRS) - Ecole des Hautes Etudes en Sciences Sociales (EHESS) - Ecole Centrale Marseille (ECM))

  • Gilles Dufrenot

    ()
    (AMSE - Aix-Marseille School of Economics - Aix-Marseille Univ. - Centre national de la recherche scientifique (CNRS) - Ecole des Hautes Etudes en Sciences Sociales (EHESS) - Ecole Centrale Marseille (ECM), Centre de recherche de la Banque de France - Banque de France, CEPII - Centre d'Etudes Prospectives et d'Informations Internationales - Centre d'analyse stratégique)

  • Charles Lai Tong

    ()
    (AMSE - Aix-Marseille School of Economics - Aix-Marseille Univ. - Centre national de la recherche scientifique (CNRS) - Ecole des Hautes Etudes en Sciences Sociales (EHESS) - Ecole Centrale Marseille (ECM))

  • Anne Peguin-Feissolle

    ()
    (AMSE - Aix-Marseille School of Economics - Aix-Marseille Univ. - Centre national de la recherche scientifique (CNRS) - Ecole des Hautes Etudes en Sciences Sociales (EHESS) - Ecole Centrale Marseille (ECM))

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.

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Bibliographic Info

Paper provided by HAL in its series Working Papers with number halshs-00793680.

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Date of creation: Dec 2012
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Handle: RePEc:hal:wpaper:halshs-00793680

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Keywords: Long-memory; nonlinearity; time varying parameter; logistic;

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  1. Cheng, Ka Ming & Durmaz, Nazif & Kim, Hyeongwoo & Stern, Michael L., 2012. "Hysteresis vs. natural rate of US unemployment," Economic Modelling, Elsevier, vol. 29(2), pages 428-434.
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