A nonlinear long memory model, with an application to US unemployment.
From MaRDI portal
Publication:1858967
DOI10.1016/S0304-4076(02)00090-8zbMath1040.62111MaRDI QIDQ1858967
Richard Paap, Philip Hans Franses, Dick van Dijk
Publication date: 17 February 2003
Published in: Journal of Econometrics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items (22)
An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series ⋮ Nonlinear models for strongly dependent processes with financial applications ⋮ A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries ⋮ Modelling squared returns using a SETAR model with long-memory dynamics ⋮ Nonlinear autoregressive models and long memory ⋮ On the estimation of short memory components in long memory time series models ⋮ Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation ⋮ A simple fractionally integrated model with a time-varying long memory parameter \(d_t\) ⋮ Seasonal nonlinear long memory model for the US inflation rates ⋮ Asymptotic theory for time series with changing mean and variance ⋮ Chaotic dynamics of a piecewise linear model of credit cycles ⋮ Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model ⋮ Testing for sign and amplitude asymmetries using threshold autoregressions ⋮ NONLINEARITY IN THE CANADIAN AND U.S. LABOR MARKETS: UNIVARIATE AND MULTIVARIATE EVIDENCE FROM A BATTERY OF TESTS ⋮ A simple test on structural change in long-memory time series ⋮ How can we Define the Concept of Long Memory? An Econometric Survey ⋮ Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks ⋮ Discrete Langevin-type equation for p-order persistent time series and procedure of its reconstruction ⋮ Testing fractional unit roots with non-linear smooth break approximations using Fourier functions ⋮ Approximate state space modelling of unobserved fractional components ⋮ A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data ⋮ Fractionally integrated time varying GARCH model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Absorption of shocks in nonlinear autoregressive models
- Testing the adequacy of smooth transition autoregressive models
- Impulse response analysis in nonlinear multivariate models
- Long memory relationships and the aggregation of dynamic models
- A simple nonlinear time series model with misleading linear properties
- A simple linear time series model with misleading nonlinear properties
- Information criteria for selecting possibly misspecified parametric models
- Long memory processes and fractional integration in econometrics
- Model Selection in Threshold Models
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Inference in TAR Models
- Testing linearity against smooth transition autoregressive models
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Forecasting the U.S. Unemployment Rate
- MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Threshold Autoregression with a Unit Root
- MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
- Modeling Multiple Regimes in the Business Cycle
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Long memory and regime switching
- A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP
This page was built for publication: A nonlinear long memory model, with an application to US unemployment.
