کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5055947 1371505 2009 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries
چکیده انگلیسی
Existing tests of the unit root hypothesis against the alternative hypothesis of exponential smooth transition autoregressive (ESTAR) nonlinearity implicitly assume symmetry under the alternative. This paper proposes a simple unit root test against the alternative of symmetric or asymmetric ESTAR nonlinearity. In the event that the unit root hypothesis is rejected, a simple test of symmetric versus asymmetric ESTAR nonlinearity is also proposed. The asymptotic distributions of the test statistics are straightforward to establish and finite-sample performance is studied with Monte Carlo simulations. An empirical application involving the real exchange rates of four Nordic countries against the U.S. dollar illustrates the usefulness of the new tests.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 26, Issue 1, January 2009, Pages 118-125
نویسندگان
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