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A Smooth Transition Long-Memory Model

  • 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)

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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Paper provided by Aix-Marseille School of Economics, Marseille, France in its series AMSE Working Papers with number 1240.

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Length: 27 pages
Date of creation: Dec 2012
Date of revision: Dec 2012
Handle: RePEc:aim:wpaimx:1240
Contact details of provider: Web page: http://www.amse-aixmarseille.fr/en
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  1. Perron, Pierre, 1988. "Trends and random walks in macroeconomic time series : Further evidence from a new approach," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 297-332.
  2. Gilles Dufrenot & Dominique Guegan & Anne Peguin-Feissolle, 2008. "Changing-regime volatility: A fractionally integrated SETAR model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00185369, HAL.
  3. Blanchard, Olivier J. & Summers, Lawrence H., 1987. "Hysteresis in unemployment," European Economic Review, Elsevier, vol. 31(1-2), pages 288-295.
  4. Mohamed Boutahar & Gilles Dufrénot & Anne Peguin-Feissolle, 2008. "A SIMPLE FRACTIONALLY INTEGRATED MODEL WITH A TIME-VARYING LONG MEMORY PARAMETER Dt," Working Papers halshs-00275254, HAL.
  5. Lahiani, A. & Scaillet, O., 2009. "Testing for threshold effect in ARFIMA models: Application to US unemployment rate data," International Journal of Forecasting, Elsevier, vol. 25(2), pages 418-428.
  6. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1997. "Estimation of stochastic volatility models with diagnostics," Journal of Econometrics, Elsevier, vol. 81(1), pages 159-192, November.
  7. Olivier J. Blanchard & Lawrence H. Summers, 1986. "Hysteresis and the European Unemployment Problem," Working papers 427, Massachusetts Institute of Technology (MIT), Department of Economics.
  8. Gordon, Robert J, 1996. "The Time-varying NAIRU and its Implications for Economic Policy," CEPR Discussion Papers 1492, C.E.P.R. Discussion Papers.
  9. 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.
  10. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  11. Niels Haldrup & Morten O. Nielsen, 2004. "A Regime Switching Long Memory Model for Electricity Prices," Economics Working Papers 2004-2, School of Economics and Management, University of Aarhus.
  12. Di Tella, Rafael & MacCulloch, Robert, 2006. "Europe vs America: Institutional hysteresis in a simple normative model," Journal of Public Economics, Elsevier, vol. 90(12), pages 2161-2186, December.
  13. Tanaka, Katsuto, 1999. "The Nonstationary Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 15(04), pages 549-582, August.
  14. Koopman, Siem Jan & Ooms, Marius & Carnero, M. Angeles, 2007. "Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 16-27, March.
  15. Alvarez-Ramirez, Jose & Alvarez, Jesus & Solis, Ricardo, 2010. "Crude oil market efficiency and modeling: Insights from the multiscaling autocorrelation pattern," Energy Economics, Elsevier, vol. 32(5), pages 993-1000, September.
  16. Engelen, Steve & Norouzzadeh, Payam & Dullaert, Wout & Rahmani, Bahareh, 2011. "Multifractal features of spot rates in the Liquid Petroleum Gas shipping market," Energy Economics, Elsevier, vol. 33(1), pages 88-98, January.
  17. J. Durbin, 2002. "A simple and efficient simulation smoother for state space time series analysis," Biometrika, Biometrika Trust, vol. 89(3), pages 603-616, August.
  18. Morten Ørregaard Nielsen & Per Frederiksen, 2005. "Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration," Working Papers 1189, Queen's University, Department of Economics.
  19. Leon-Ledesma, Miguel A, 2002. "Unemployment Hysteresis in the US States and the EU: A Panel Approach," Bulletin of Economic Research, Wiley Blackwell, vol. 54(2), pages 95-103, April.
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