Chinese Journal of Management Science ›› 2007, Vol. 15 ›› Issue (3): 6-13.
Previous Articles Next Articles
LIU Jin-quan, LI Qing-hua, ZHENG Ting-guo
Received:
Revised:
Online:
Published:
Abstract: On the base is of ARFIIVIA model and smooth transition model which describe long memory and structural change respectively,this paper proposes a STARFIIVIA model to jointly test these two properties of time series and presents the methods of parameter estimation and bootstrap likelihood ratio test for null of linearity.As a case of China s inflation rate,we find that STARFIIVIA model can simulate better than the linear ARFIIVIA model by empirical analysis with logistic smooth transition ARFIIVIA model.Moreo ver,this model can capture structural change with transition variables of inflation rate and increasing inflation rate,and the results suggest that the memory becomes strong when considering structural change and displays long range dependence.
Key words: long memory, structural change, STA RFIMA model, smooth transition, inflation rate
CLC Number:
C934
LIU Jin-quan, LI Qing-hua, ZHENG Ting-guo. Smooth Transition Autoregressive Fractional Moving Average Model and Empirical Analysis: A Case of China’s Inflation Rate[J]. Chinese Journal of Management Science, 2007, 15(3): 6-13.
0 / / Recommend
Add to citation manager EndNote|Reference Manager|ProCite|BibTeX|RefWorks
URL: http://www.zgglkx.com/EN/
http://www.zgglkx.com/EN/Y2007/V15/I3/6