In ESTAR models it is usually quite difficult to obtain parameter estimates, as it is discussed in the literature. The problem of properly distinguishing the transition function in relation to extreme parameter combinations often leads to getting strongly biased estimators. This paper proposes a...

This paper sets out to re-examine CO2 emissions for 22 OECD countries over the period 1870–2006. The aim is to help explain mixed evidence regarding convergence in per capita emissions among countries. The paper revolves around two potential sources of inconclusive findings regarding CO2...

This paper contains a brief survey of nonlinear models of autoregressive conditional heteroskedasticity. The models in question are parametric nonlinear extensions of the original model by Engle (1982). After presenting the individual models, linearity testing and parameter estimation are...

Determining good parameter estimates in ESTAR models is known to be diffcult. We show that the phenomena of getting strongly biased estimators is a consequence of the so-called identifcation problem, the problem of properly distinguishing the transition function in relation to extreme parameter...

We investigate the existence of nonlinear patterns in the dynamics of the main stock index returns in Romania. We use daily closing data of the BET stock index series from 2004 to early 2010. Based on several tests for nonlinearity we reject the null hypothesis of linearity. We use several types...