Showing 1 - 10 of 14
In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the...
Persistent link: https://www.econbiz.de/10002577852
Persistent link: https://www.econbiz.de/10000981126
Persistent link: https://www.econbiz.de/10000987484
Persistent link: https://www.econbiz.de/10000994162
Persistent link: https://www.econbiz.de/10000960149
In this paper we introduce a flexible target zone model that is capable of characterizing the dynamic behaviour of an exchange rate implied by the original target zone model of Krugman (1991) and its modifications. Our framework also enables the modeller to estimate an implicit target zone if it...
Persistent link: https://www.econbiz.de/10001786381
Persistent link: https://www.econbiz.de/10001629835
In this paper two simple tests to distinguish between unit root processes and stationary nonlinear processes are proposed. New limit distribution results are provided, together with two F type test statistics for the joint unit root and linearity hypothesis against a specific nonlinear...
Persistent link: https://www.econbiz.de/10001845685
In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth transition autoregression as a tool. As the smooth transition model is just an approximation to the threshold autoregressive one, no asymptotic properties are claimed for the...
Persistent link: https://www.econbiz.de/10002535492