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A smooth transition long-memory model

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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Studies in Nonlinear Dynamics & Econometrics de Gruyter

A smooth transition long-memory model

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Publisher
de Gruyter
Copyright
Copyright © 2013 by the
ISSN
1081-1826
eISSN
1558-3708
DOI
10.1515/snde-2012-0042
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

Studies in Nonlinear Dynamics & Econometrics – de Gruyter

Published: May 1, 2013

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    Rees
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    Engelen
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    Haldrup
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    Lahiani
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    Tsao
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    Cheng
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    Blanchard
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    Dufrénot
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    Boutahar
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    Rees
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    Vesilo
  • The Multiple Change - Points Problem for the Spectral Distribution
    Lavielle
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    Teräsvirta
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    Dufrénot
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    Durbin
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    Koopman
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    Pasquini
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    Haldrup
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    Blanchard
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    Dufrénot
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    Anderson
  • de The Simulation Smoother for Time Series Models
    Jong
  • Testing for Unit Roots and Persistence in OECD Unemployment
    Mitchell
  • a Modeling Squared Returns using a SETAR Model with Long Memory Dynamics
    Dufrénot
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    Goldman
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    Perron
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    Gavrishchaka
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    Gallant
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    Alvarez
  • Monte Carlo Filter and Smoother for Non - Gaussian Nonlinear State Space Models of and
    Kitagawa
  • Trends and Random Walks in Macroeconomic Time Series : Further Evidence from a New Approach of Economic Dynamic and Control
    Perron
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    Luukkonen
  • Periodic Seasonal ARFIMA - GARCH Models for Daily Electricity Spot Prices of the American Economic Association
    Koopman
  • Unemployment Hysteresis in the US States and the EU Panel Approach of
    Leon
  • Fractional cointegration with regime shifts between equity markets Working Paper Marseille
    Aloy
  • a Regime Switching Long Memory Model for Electricity Prices of
    Haldrup
  • The Multiple Change - Points Problem for the Spectral Distribution
    Lavielle
  • Crude Oil Market Efficiency and Modeling : Insights from the Multiscaling Autocorrelation Pattern
    Alvarez