Search Results - subject:"Smooth Transition Autoregressive"

Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model

Bec, Frederique; Salem, Melika Ben; Carrasco, Marine - University of Rochester - Center for Economic Research … - 2004

Recent Studies on general equilibrium models with transaction costs show that the dynamics of the real exchange rate are necessarily nonlinear. Our contribution to the literature on nonlinear price adjustment mechanisms is threefold. First, we model the real exchange rates by a Multi-Regime...

Persistent link: https://www.econbiz.de/10005504004

Testing the unit root hypothesis against the logistic smooth transition autoregressive model

Eklund, Bruno - 2003

described by a stationary smooth transition autoregressive process than a random walk. … linearity hypothesis against a specific nonlinear alternative. Nonlinearity is defined through the smooth transition … autoregressive model. Due to occasional size distortion in small samples, a simple bootstrap method is proposed for estimating the p …

Persistent link: https://www.econbiz.de/10010281347

A nonlinear alternative to the unit root hypothesis

Eklund, Bruno - 2003

This paper considers testing the unit root hypothesis against a smooth transition autoregressive model as the …

Persistent link: https://www.econbiz.de/10010281382

Testing for cointegration in nonlinear STAR error correction models

Kapetanios, George; Shin, Yongcheol; Snell, Andrew J. - 2003

globally stationary smooth transition autoregressive (STAR) process. We start from a general VAR model, embed the STAR error …

Persistent link: https://www.econbiz.de/10010284189

Explaining movements in UK stock prices:

Aslanidis, Nektarios; Osborn, Denise; Sensier, Marianne - Department of Economics, University of Crete - 2003

This paper provides evidence on the causes of movements in monthly UK stock prices, examining the role of macroeconomic and financial variables in a nonlinear framework. We allow for time-varying effects through the use of smooth transition models. We find that past changes in the dividend yield...

Persistent link: https://www.econbiz.de/10004994288

A nonlinear alternative to the unit root hypothesis

Eklund, Bruno - Economics Institute for Research (SIR), … - 2003

This paper considers testing the unit root hypothesis against a smooth transition autoregressive model as the … unit root hypothesis against a smooth transition autoregressive model as the alternative. The model speci cation makes it …, supporting the purchasing power parity hypothesis. Keywords: Smooth transition autoregressive model, nonlinearity, unit root …

Persistent link: https://www.econbiz.de/10005649224

Testing the unit root hypothesis against the logistic smooth transition autoregressive model

Eklund, Bruno - Economics Institute for Research (SIR), … - 2003

Persistent link: https://www.econbiz.de/10005207178

Price stabilization in the Taiwan hog and broiler industries: Evidence from a STAR approach

Hwang, Tsorng-Chyi; Chen, Meng-Gu; Chang, Chia-Lin - In: Mathematics and Computers in Simulation (MATCOM) 82 (2011) 2, pp. 213-219

stabilization mechanisms for the broiler and pork industry in Taiwan, the paper discusses the smooth transition autoregressive (STAR …

Persistent link: https://www.econbiz.de/10010751864

An In-Sample and Out-of-Sample Empirical Investigation of the Nonlinearity in House Prices of South Africa

Balcilar, Mehmet; Gupta, Rangan; Shah, Zahra - Department of Economics, Faculty of Economic and … - 2010

-middle, medium-middle, small-middle, luxury and affordable, exhibits non-linearity based on smooth transition autoregressive (STAR …

Persistent link: https://www.econbiz.de/10008486900

Nonlinear dynamic relations between equity return and equity fund flow : Korean market empirical evidence

Kim, Sei-Wan; Kim, Youngmin - In: Asia-Pacific journal of financial studies 39 (2010) 2, pp. 139-170

Persistent link: https://www.econbiz.de/10009315273