A Smooth Transition Long-Memory Model

Marcel Aloy (1) , Gilles Dufrenot (1, 2, 3) , Charles Lai-Tong (1) , Anne Peguin-Feissolle (1)

1 GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille
2 Centre de recherche de la Banque de France
3 CEPII - Centre d'Etudes Prospectives et d'Informations Internationales

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.

Mots clés: time varying parameter; nonlinearity; Long-memory; logistic

Domaines: Economies et finances

Marcel Aloy, Gilles Dufrenot, Charles Lai-Tong, Anne Peguin-Feissolle. A Smooth Transition Long-Memory Model. 2012. ⟨halshs-00793680⟩