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A Smooth Transition Long-Memory Model

Listed author(s):
  • 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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File URL: http://www.amse-aixmarseille.fr/sites/default/files/_dt/2012/wp_2012_-_nr_40.pdf
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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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  10. 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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  16. Mohamed Boutahar & Gilles Dufrénot & Anne Peguin-Feissolle, 2008. "A SIMPLE FRACTIONALLY INTEGRATED MODEL WITH A TIME-VARYING LONG MEMORY PARAMETER Dt - [Document de travail n°2008 - 10]," Working Papers halshs-00275254, HAL.
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  22. 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.
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