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Testing for long memory against ESTAR nonlinearities

Kuswanto, Heri; Sibbertsen, Philipp - 2009

We develop a Wald type test to distinguish between long memory and ESTAR nonlinearity by using a directed … good size and power properties to distinguish between stationary long memory and ESTAR. Moreover, the second approach is …

Persistent link: https://www.econbiz.de/10010270049

Understanding forecast failure of ESTAR models of real exchange rates

Buncic, Daniel - 2009

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. …

Persistent link: https://www.econbiz.de/10011496091

Nonlinear dynamics of real exchange rates for sectoral data

Kim, Jaebeom; Moh, Young-kyu - In: International journal of finance & economics : IJFE 16 (2011) 2, pp. 146-151

Persistent link: https://www.econbiz.de/10009159753

Least absolute deviation based unit root tests in smooth transition type of models

Sandberg, Rickard - In: Advances in non-linear economic modeling : theory and …, (pp. 141-166). 2014

Persistent link: https://www.econbiz.de/10010251587

Wild bootstrap testing for cointegration in an ESTAR error correction model

Maki, Daiki - In: Economic modelling 47 (2015), pp. 280-291

Persistent link: https://www.econbiz.de/10011439126

Understanding forecast failure of ESTAR models of real exchange rates

Buncic, Daniel - 2009 - This Version : July 23, 2009

Persistent link: https://www.econbiz.de/10011523710

Testing for nonlinear panel unit roots under cross-sectional dependency : with an application to the PPP hypothesis

Månsson, Kristofer; Sjölander, Pär - In: Economic modelling 38 (2014), pp. 121-132

Persistent link: https://www.econbiz.de/10010418139

What can we learn about the real exchange rate behavior in the case of a peripheral country?

Ftiti, Zied; Chaouachi, Slim - In: Journal of quantitative economics 16 (2018) 3, pp. 681-707

Persistent link: https://www.econbiz.de/10012418583

Stationarity of African stock markets under an ESTAR framework

Gyamfi, E. N.; Kyei, K. A.; Gill, R. - In: EuroEconomica 35 (2016) 2, pp. 93-101

Persistent link: https://www.econbiz.de/10011571630

Investigation of the nonlinear behaviour in real exchange rates in developing regions

Karlsson, Hyunjoo Kim; Månsson, Kristofer; Sjölander, Pär - In: Applied economics letters 25 (2018) 5, pp. 335-339

Persistent link: https://www.econbiz.de/10011854514