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ESTAR model with multiple fixed points. Testing and Estimation

Venetis, I A and Paya, I and Peel, D (2009) ESTAR model with multiple fixed points. Testing and Estimation. Working Paper. The Department of Economics, Lancaster University.

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    Abstract

    In this paper we propose a globally stationary augmentation of the Exponential Smooth Transition Autoregressive (ESTAR) model that allows for multiple fixed points in the transition function. An F-type test statistic for the null of nonstationarity against such globally stationary nonlinear alternative is developed. The test statistic is based on the standard approximation of the nonlinear function under the null hypothesis by a Taylor series expansion. The model is applied to the U.S real interest rate data for which we find evidence of the new ESTAR process.

    Item Type: Monograph (Working Paper)
    Uncontrolled Keywords: ESTAR ; unit toot ; real interest rates
    Subjects:
    Departments: Lancaster University Management School > Economics
    ID Code: 48953
    Deposited By: ep_importer_pure
    Deposited On: 11 Jul 2011 22:24
    Refereed?: No
    Published?: Published
    Last Modified: 27 Jul 2012 01:19
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/48953

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