This paper proposes a new fractional model with a time-varying long-memory parameter. The latter evolves nonlinearly according to a transition variable through a logistic function. We present a LR-based test that allows to discriminate between the standard fractional model and our model. We...

The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing nonlinearity and long memory features. In this context, we used the family of fractionally integrated STAR (FISTAR) models proposed by van Dijk, Franses and Paap (2002) to the case when the...