literature is five-fold: First, we compare ESTAR and MSAR models from a unit root perspective. To this end, we propose a new unit … Carlo setup with real world parameter constellations. The ESTAR unit root test is not indicative, while the MSAR unit test … is robust. Fourthly, we consider the case of correctly specified alternatives and observe low power of the ESTAR but not …

of the empirical literature applies ESTAR models and neglects the existence of other competing nonlinear models. Among … literature is fivefold: First, ESTAR and MSAR models from a unit root perspective are compared. To this end, a new unit root test … with real world parameter constellations is studied. The ESTAR unit root test is not indicative, while the MSAR unit test …

mean changes and is hence compatible with long-run PPP. Nonlinear adjustment is modeled by means of an ESTAR model. Our … depreciation of the dollar in the 1980s and the ESTAR adjustment appears to play an important role. …

roots in real exchange rates. We apply a popular unit root test against nonlinear ESTAR and develop a Markov Switching unit … means of a Monte Carlo study. The chosen parametrization is obtained by real-life exchange rates. The test against ESTAR has …

Rapach and Wohar (2006). Moreover, we illustrate graphically that the nonlinearity in the forecasts from the ESTAR model is … also illustrate graphically why one step-ahead forecasts from the nonlinear ESTAR model fail to yield superior predictions …

one of the three exchange rate series indicated to be an ESTAR process. Moreover, using simulations, we show that the …

Wohar (2006). Moreover, we illustrate graphically that the nonlinearity in the forecasts from the ESTAR model is the … illustrate graphically why one step-ahead forecasts from the nonlinear ESTAR model fail to yield superior predictions to a simple …

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. …