Two competitive models and theiridentication problem:the ESTAR and TSTAR model

Determining good parameter estimates in ESTAR models is known to be difficult. We showthat the phenomena of getting strongly biased estimators is a consequence of the so-calledidentication problem, the problem of properly distinguishing the transition function in relationto extreme parameter combinations. This happens in particular for either very small or verylarge values of the error term variance...

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Year of publication:	2011-05-24
Authors:	Heinen, Florian ; Michael, Stefanie ; Sibbertsen, Philipp
Institutions:	Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät
Subject:	Übergang \| Realer Wechselkurs \| real exchange rate volatility \| Linearität \| Nonlinearities \| Einheitswurzel \| Unit root testing

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Extent:	748544 bytes 36 p. application/pdf
Series:	Leibniz Universität Hannover - Wirtschaftswissenschaftliche Fakultät - Diskussionspapiere Discussion Paper ; No. 474 (2011)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; Business administration. General ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10009284848