TY - UNPB

T1 - ESTAR model with multiple fixed points. Testing and Estimation

AU - Venetis, I A

AU - Paya, I

AU - Peel, D

PY - 2009

Y1 - 2009

N2 - 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.

AB - 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.

KW - ESTAR

KW - unit toot

KW - real interest rates

M3 - Working paper

T3 - Economics Working Paper Series

BT - ESTAR model with multiple fixed points. Testing and Estimation

PB - The Department of Economics

CY - Lancaster University

ER -