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 …

Exponential Smooth Transition Autoregressive (ESTAR) model is widely adopted in the exchange rate study as its … validity of this hypothesis that the ESTAR exchange rate model is superior to LSTAR exchange rate model on the basis of … version as well as the ESTAR model, which has thus far been deemed the most appropriate nonlinear exchange rate model. …