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Stochastic unit root processes : maximum likelihood estimation, and new Lagrange multiplier and likelihood ratio tests

Yoon, Gawon - In: Economic modelling 52 (2016), pp. 725-732

Persistent link: https://www.econbiz.de/10011643010

Further evidence on purchasing power parity over two centuries with multiple changes in persistence

Yoon, Gawon - In: Applied economics letters 15 (2008) 13/15, pp. 1093-1096

Persistent link: https://www.econbiz.de/10003801236

Nonlinearity in real exchange rates : an approach with disaggregated data and a new linearity test

Yoon, Gawon - In: Applied economics letters 17 (2010) 10/12, pp. 1125-1132

Persistent link: https://www.econbiz.de/10008699256

Nonlinear mean reversion in real exchange rates : threshold autoregressive models and stochastic unit root processes

Yoon, Gawon - In: Applied economics letters 17 (2010) 7/9, pp. 797-803

Persistent link: https://www.econbiz.de/10003996726

On the performance of a nonparametric measure of convergence towards purchasing power parity in the presence of linearity

Yoon, Gawon - In: Applied economics letters 17 (2010) 13/15, pp. 1389-1396

Persistent link: https://www.econbiz.de/10008938279

Nonlinear mean-reversion to purchasing power parity : exponential smooth transition autoregressive models and stochastic unit root processes

Yoon, Gawon - In: Applied economics 42 (2010) 4/6, pp. 489-496

Nonlinear exponential smooth transition autoregressive (ESTAR) models are recently very popular in modelling the deviation from purchasing power parity. This article, shows that there is a close relation between the ESTAR models estimated in Taylor et al. (2001) and stochastic unit root (STUR)...

Persistent link: https://www.econbiz.de/10003951985