On fractionally integrated logistic smooth transitions in time series

Olanrewaju Ismail Shittu · OlaOlua S. Yaya

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

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.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1988Testing for a Unit Root in Time Series Regression 1988Statistical analysis of cointegration vectors 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 2007The Economics of Climate Change: The Stern Review 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]2002

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