of the empirical literature applies ESTAR models and neglects the existence of other competing nonlinear models. Among … literature is fivefold: First, ESTAR and MSAR models from a unit root perspective are compared. To this end, a new unit root test … with real world parameter constellations is studied. The ESTAR unit root test is not indicative, while the MSAR unit test …

mean changes and is hence compatible with long-run PPP. Nonlinear adjustment is modeled by means of an ESTAR model. Our … depreciation of the dollar in the 1980s and the ESTAR adjustment appears to play an important role. …

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 …

Wohar (2006). Moreover, we illustrate graphically that the nonlinearity in the forecasts from the ESTAR model is the … illustrate graphically why one step-ahead forecasts from the nonlinear ESTAR model fail to yield superior predictions to a simple …

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. …

one of the three exchange rate series indicated to be an ESTAR process. Moreover, using simulations, we show that the …