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A Smooth Transition Long-Memory Model

Author

Listed:
  • Marcel Aloy

    () (Aix-Marseille University (Aix-Marseille School of Economics), CNRS & EHESS)

  • Gilles Dufrénot

    () (Aix-Marseille University (Aix-Marseille School of Economics), CNRS & EHESS, Banque de France and CEPII)

  • Charles Lai Tong

    () (Aix-Marseille University (Aix-Marseille School of Economics), CNRS & EHESS)

  • Anne Péguin-Feissolle

    () (Aix-Marseille University (Aix-Marseille School of Economics), CNRS & EHESS)

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.

Suggested Citation

  • Marcel Aloy & Gilles Dufrénot & Charles Lai Tong & Anne Péguin-Feissolle, 2012. "A Smooth Transition Long-Memory Model," AMSE Working Papers 1240, Aix-Marseille School of Economics, Marseille, France, revised Dec 2012.
  • Handle: RePEc:aim:wpaimx:1240
    as

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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    1. Massimiliano Caporin & Rangan Gupta, 2017. "Time-varying persistence in US inflation," Empirical Economics, Springer, vol. 53(2), pages 423-439, September.
    2. repec:bpj:jtsmet:v:10:y:2018:i:1:p:20:n:1 is not listed on IDEAS
    3. Boubaker Heni & Canarella Giorgio & Miller Stephen M. & Gupta Rangan, 2017. "Time-varying persistence of inflation: evidence from a wavelet-based approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(4), pages 1-18, September.

    More about this item

    Keywords

    Long-memory; nonlinearity; time varying parameter; logistic.;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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