We propose a new long-memory model with a time-varying fractional integration
parameter, evolving non-linearly according to a Logistic Smooth Transition
Autoregressive (LSTAR) specification. To estimate the time-varying fractional integration
parameter, we implement a method based on the wavelet approach, using the
instantaneous least squares estimator (ILSE). The empirical results show the relevance
of the modeling approach and provide evidence of regime change in inflation
persistence that contributes to a better understanding of the inflationary process in the
US. Most importantly, these empirical findings remind us that a "one-size-fits-all"
monetary policy is unlikely to work in all circumstances.