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The study examines whether the long-run validity of PPP holds in some major advanced and developing economies. The study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology, and we are not aware of any study that has applied TVC...
Persistent link: https://www.econbiz.de/10014500904
The present paper studies the panel data auto regressive (PAR) time series model for testing the unit root hypothesis. The posterior odds ratio (POR) is derived under appropriate prior assumptions and then empirical analysis is carried out for testing the unit root hypothesis of Net Asset Value...
Persistent link: https://www.econbiz.de/10011784564
The random coefficient autoregressive model has been utilized for modeling financial time series because it possesses features that are often observed in financial time series. When the mean of the random autoregressive coefficient is one, it is called the stochastic unit root model. This paper...
Persistent link: https://www.econbiz.de/10014107239
This work develops likelihood-based unit root tests in the noncausal autoregressive (NCAR) model formulated by Lanne and Saikkonen (2011, Journal of Time Series Econometrics 3, Iss. 3, Article 2). The possible unit root is assumed to appear in the causal autoregressive polynomial and for reasons...
Persistent link: https://www.econbiz.de/10013072628
In ESTAR models it is usually difficult to determine parameter estimates, as it can be observed in the literature. We show that the phenomena of getting strongly biased estimators is a consequence of the so-called identification problem, the problem of properly distinguishing the transition...
Persistent link: https://www.econbiz.de/10003950818
, we model the real exchange rate by a Multi-Regime Logistic Smooth Transition AutoRegression (MR-LSTAR), allowing for both …
Persistent link: https://www.econbiz.de/10014071197
We study large-sample properties of likelihood ratio tests of the unit root hypothesis in an autoregressive model of arbitrary, finite order. Earlier research on this testing problem has developed likelihood ratio tests in the autoregressive model of order one, but resorted to a plug-in approach...
Persistent link: https://www.econbiz.de/10012216176
contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold autoregression, in …
Persistent link: https://www.econbiz.de/10012771003
This paper proposes SupWald tests from a threshold autoregressive model computed with an adaptive set of thresholds. Simple examples of adaptive threshold sets are given. A second contribution of the paper is a general asymptotic null limit theory when the threshold variable is a level variable....
Persistent link: https://www.econbiz.de/10014209706
We consider modeling the real exchange rate by a stationary three-regime self-exciting threshold autoregressive (SETAR) model with possibly a unit root in the middle regime. This representation is consistent with purchasing power parity in the presence of trading costs. Our main contribution is...
Persistent link: https://www.econbiz.de/10014071350