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This is a corrigendum. We correct the mistakes in Basci and Caner, "Are Real Exchange Rates Nonlinear or Non-stationary? Evidence from a New Threshold Unit Root Test" 2005, vol.9.4, Article 2.
Persistent link: https://www.econbiz.de/10005459058
We develop a Wald type test to distinguish between long memory and ESTAR nonlinearity by using a directed … good size and power properties to distinguish between stationary long memory and ESTAR. Moreover, the second approach is …
Persistent link: https://www.econbiz.de/10010270049
The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real … and their forecasts. It is shown graphically that the nonlinearity in the point forecasts of the ESTAR model decreases as … ESTAR specification over a simple AR(1) model. …
Persistent link: https://www.econbiz.de/10011496091
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We develop a Wald type test to distinguish between long memory and ESTAR nonlinearity by using a directed … good size and power properties to distinguish between stationary long memory and ESTAR. Moreover, the second approach is …
Persistent link: https://www.econbiz.de/10005003400
The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real … and their forecasts. It is shown graphically that the nonlinearity in the point forecasts of the ESTAR model decreases as … ESTAR specification over a simple AR(1) model. …
Persistent link: https://www.econbiz.de/10005092403
size of the deviation from price parity. Based on different tests, we select the ESTAR model. Deviations from price parity …
Persistent link: https://www.econbiz.de/10005627093
In a dataset of weekly observations over the period since 1990, the discount on UK closed-end mutual funds is shown to be nonstationary, but reverting to a nonzero long run mean. Although the long run discount could be explained by factors like management expenses etc., its short run...
Persistent link: https://www.econbiz.de/10005811705