English, Article, Journal or magazine article edition: ESTAR model with multiple fixed points. Testing and Estimation David Peel; Ivan Paya; Ioannis A. Venetis

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Bookmark: http://trove.nla.gov.au/version/59537
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • ESTAR model with multiple fixed points. Testing and Estimation
Author
  • David Peel
  • Ivan Paya
  • Ioannis A. Venetis
Physical Description
  • preprint
Notes
  • In this paper we propose a globally stationary augmentation of the Exponential Smooth Transition Autoregressive (ESTAR) model that allows for multiple fixed points in the transition function. An F-type test statistic for the null of nonstationarity against such globally stationary nonlinear alternative is developed. The test statistic is based on the standard approximation of the nonlinear function under the null hypothesis by a Taylor series expansion. The model is applied to the U.S real interest rate data for which we find evidence of the new ESTAR process.
  • ESTAR, unit toot, real interest rates
  • RePEc:lan:wpaper:005916
Language
  • English
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