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Wavelet based Estimation of Time- Varying Long Memory Model with Nonlinear Fractional Integration Parameter

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  • Heni Boubaker
  • Nadia Sghaier

Abstract

In this paper, we propose a time-varying long memory model where the fractional integration parameter varies nonlinearly according to Smooth Transition Regressive (STR) model. To estimate the fractional integration parameter, we suggest a new estimation

Suggested Citation

  • Heni Boubaker & Nadia Sghaier, 2014. "Wavelet based Estimation of Time- Varying Long Memory Model with Nonlinear Fractional Integration Parameter," Working Papers 2014-284, Department of Research, Ipag Business School.
  • Handle: RePEc:ipg:wpaper:2014-284
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    References listed on IDEAS

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    7. 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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    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.
    4. repec:ipg:wpaper:2014-604 is not listed on IDEAS
    5. repec:ipg:wpaper:2014-511 is not listed on IDEAS
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    8. repec:ipg:wpaper:2014-509 is not listed on IDEAS
    9. repec:ipg:wpaper:2014-510 is not listed on IDEAS

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