Exponential smooth transition autoregressive (ESTAR) models are widely used in the international finance literature, particularly for the modelling of real exchange rates. We show that the exponential function is ill-suited as a regime weighting function because of two undesirable properties....

Holston, Laubach and Williams’ (2017) estimates of the natural rate of interest are driven by the downward trending behaviour of ‘other factor’ z(t). I show that their implementation of Stock and Watson’s (1998) Median Unbiased Estimation (MUE) to determine the size of parameter λ(z)...

Exponential smooth transition autoregressive (ESTAR) models have been widely used in the empirical international finance literature. We show that the exponential function used in ESTAR models is ill-suited as a regime weighting function because of two undesirable properties. The first is that it...

Exponential smooth transition autoregressive (ESTAR) models are widely used in theinternational finance literature, particularly for the modelling of real exchange rates. Weshow that the exponential function is ill-suited as a regime weighting function because oftwo undesirable properties....

Exponential smooth transition autoregressive (ESTAR) models are widely used in the international finance literature, particularly for the modelling of real exchange rates. We show that the exponential function is ill-suited as a regime weighting function because of two undesirable properties....