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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, France, revised Dec 2012.
    • Handle: RePEc:aim:wpaimx:1240
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    References listed on IDEAS

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    Cited by:

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    3. Biswajit Patra & Puja Padhi, 2015. "Backtesting of Value at Risk Methodology: Analysis of Banking Shares in India," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 9(3), pages 254-277, August.
    4. Boubaker Heni, 2018. "A Generalized ARFIMA Model with Smooth Transition Fractional Integration Parameter," Journal of Time Series Econometrics, De Gruyter, vol. 10(1), pages 1-20, January.

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    More about this item

    Keywords

    Long-memory; nonlinearity; time varying parameter; logistic.;
    All these keywords.

    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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