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:
/dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
ID Code:
48953
Deposited By:
Deposited On:
11 Jul 2011 21:24
Refereed?:
No
Published?:
Published
Last Modified:
24 Nov 2020 10:01