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ESTAR model with multiple fixed points. Testing and Estimation

Venetis, I A; Paya, I; Peel, D - Department of Economics, Management School - 2009

In this paper we propose a globally stationary augmentation of the Exponential Smooth Transition Autoregressive (ESTAR … interest rate data for which we find evidence of the new ESTAR process. …

Persistent link: https://www.econbiz.de/10011165370

Smooth transition models and arbitrage consistency

Peel, D; Venetis, I A - Department of Economics, Management School - 2005

conceptually superior to the ESTAR model since it is consistent with rational expectations. One of the advantages of the model is …

Persistent link: https://www.econbiz.de/10011165391

Understanding forecast failure of ESTAR models of real exchange rates

Buncic, Daniel - Volkswirtschaftliche Fakultät, … - 2009

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/10011113585

On the asymptotic distribution of a unit root test against ESTAR alternatives

Hanck, Christoph - In: Statistics & Probability Letters 82 (2012) 2, pp. 360-364

We derive the null distribution of the nonlinear unit root test proposed in Kapetanios et al. [Kapetanios, G., Shin, Y., Snell, A., 2003. Testing for a unit root in the nonlinear STAR framework. Journal of Econometrics 112, 359–379] when nonzero means or both means and deterministic trends...

Persistent link: https://www.econbiz.de/10011039917

Does natural gas consumption follow a nonlinear path over time? Evidence from 50 US States

Aslan, Alper - In: Renewable and Sustainable Energy Reviews 15 (2011) 9, pp. 4466-4469

This study is the first attempt to investigate the stationarity of natural gas consumption for 50 US states by employing nonlinear unit root test over the period 1960–2008. We concluded that natural gas consumption in approximately over 60% of states follow a nonlinear behavior. While for 27...

Persistent link: https://www.econbiz.de/10010577206

The Model of Commodity Prices after Sir Arthur Lewis Revisited

Ghoshray, A.; Perera, A. - Department of Economics, University of Bath - 2011

This paper builds on the work of Deaton and Laroque (2003) by formulating a nonlinear model of commodity prices. The paper makes three distinct contributions. First, a nonlinear model is constructed that explains long-run dynamics of commodity price behavior; secondly, more recent data is...

Persistent link: https://www.econbiz.de/10010900684

Testing for long memory against ESTAR nonlinearities

Kuswanto, Heri; Sibbertsen, Philipp - 2009

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

Understanding forecast failure of ESTAR models of real exchange rates

Buncic, Daniel - 2009

Persistent link: https://www.econbiz.de/10011496091

Testing for Long Memory Against ESTAR Nonlinearities

Kuswanto, Heri; Sibbertsen, Philipp - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2009

Persistent link: https://www.econbiz.de/10005003400

Smooth Breaks and Nonlinear Mean Reversion: Post-Bretton Woods Real Exchange Rates

Dimitris, Christopoulos; Miguel, Leon-Ledesma - Volkswirtschaftliche Fakultät, … - 2009

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. …

Persistent link: https://www.econbiz.de/10008560035