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 …

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. …

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. …

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 …