• 1 Introduction
  • 2 Threshold ARFIMA models and framework
  • 2.1 Long memory threshold effect
  • 2.2 Short memory threshold effect
  • 2.3 Joint threshold effect
  • 3 TheLMtest
  • 4 Monte Carlo experiments
  • 4.1 Results for long memory threshold effect
  • 4.2 Results for short memory threshold effect
  • 4.3 Results for joint threshold effect
  • 4.4 Spurious detection
  • 5 Modelselection
  • 6 Application to US unemployment rate data
  • 6.1 Output of the threshold ARFIMA tests
  • 6.2 Output of model estimation and selection
  • 6.3 Output of forecasting performance assessment
  • 7 Conclusion
  • References