Montagnoli, Alberto; Gregoriou, Andros; Kontonikas, … - Department of Economics, Adam Smith Business School - 2007
divergence in the euro area.
JEL classification: C22; E31.
Keywords: EMU, ESTAR models; Inflation; Structural break; Unit … generating process of inflation
differentials is Exponential Smooth Transition Autoregressive (ESTAR). Kapetanios et al (2003 …)
developed a stationarity test where the null hypothesis of a unit root is tested against an
alternative of nonlinear ESTAR …