On Fractionally Integrated Logistic Smooth Transitions in Time Series

Authors

Olanrewaju I. Shittu, University of Ibadan, IbadanFollow
Yaya S. OlaOlua, University of Ibadan, IbadanFollow

Keywords

Fractional integration, Long memory, Smooth transition autoregression, Inflation rates, Time series.

Abstract

Long memory and nonlinearity are two key features of some macroeconomic time series which are characterized by persistent shocks that seem to rise faster during recession than it falls during expansion. A variant of nonlinear time series model together with long memory are used to examine these features in inflation series for three economies. The results which compares favourably with that of van Dijk et al. (2002) elicit some interesting attributes of inflation in the developed and developing economies.

Author Bio

The authors are staff of Department of Statistic, University of Ibadan,

Publication Title

CBN Journal of Applied Statistics

Issue

1

Volume

2

Recommended Citation

Shittu, Olanrewaju I. and OlaOlua, Yaya S. (2011) "On Fractionally Integrated Logistic Smooth Transitions in Time Series," CBN Journal of Applied Statistics (JAS): Vol. 2: No. 1, Article 1.
Available at: https://dc.cbn.gov.ng/jas/vol2/iss1/1