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. …

- Transition Autoregressive (ESTAR) model. …

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 …

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 …

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. …

smooth transition autoregressive (ESTAR) models of deviations from PPP using both CPI- and WPI-based measures for a broad set …

The forecast performance of the empirical ESTAR model of Taylor et al. (2001) is examined for 4 bilateral real exchange … study shows that the non-linearity in the point forecasts of the ESTAR model decrease as the forecast horizon increases …. Multiple steps ahead density forecasts of the ESTAR model are approximately normal looking, with no signs of skewness or …

. However, theoretically well motivated nonlinear models, such as the ESTAR, appear to parsimoniously fit the PPP data and … tests against a variety of nonstationary hypotheses. We also fit the ESTAR model to data from high inflation economies. Our … results provide further support for ESTAR specification. …

original structure of the estimated residuals and obtain new critical values of the coefficient estimates. A nonlinear (ESTAR …