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Journal Articles Studies in Nonlinear Dynamics and Econometrics Year : 2013

A smooth transition long-memory model

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 an LR-Based test that allows to discriminate between the standard fractional model and our model. We further apply a nonlinear least squares estimation 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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Dates and versions

hal-01498270 , version 1 (29-03-2017)

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Cite

Marcel Aloy, Gilles Dufrénot, Charles Lai-Tong, Anne Peguin-Feissolle. A smooth transition long-memory model. Studies in Nonlinear Dynamics and Econometrics, 2013, 17 (3), pp.281--296. ⟨10.1515/snde-2012-0042⟩. ⟨hal-01498270⟩
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