A New Unit Root Test against Asymmetric ESTAR Nonlinearity with Smooth Breaks | ||
| Iranian Economic Review | ||
| مقاله 3، دوره 22، شماره 1، بهار 2018، صفحه 51-62 اصل مقاله (608.67 K) | ||
| شناسه دیجیتال (DOI): 10.22059/ier.2018.65349 | ||
| نویسندگان | ||
| Omid Ranjbar* 1؛ Tsangyao Chang2؛ Zahra Mila Elmi3؛ Chien-Chiang Lee4 | ||
| 1Iran and Trade Promotion Organization, Allameh Tabataba'i University, Tehran, Iran | ||
| 2Department of Finance, Feng Chia University, Taichung, Taiwan | ||
| 3Faculty of Economics, University of Mazandaran, Babolsar, Iran | ||
| 4Department of Finance, National Sun Yat-sen University, Kaohsiung, Taiwan | ||
| چکیده | ||
| T his paper proposes a new unit root test against the alternative of symmetric or asymmetric exponential smooth transition autoregressive (AESTAR) nonlinearity that accounts for multiple smooth breaks. We provide small sample properties which indicate the test statistics have good empirical size and power. Also, we compared small sample properties of the test statistics with Christopoulos and Leon-Ledesma (2010) test. The results indicate that our unit root test approach is superior to the test method of Christopoulos and Leon-Ledesma (2010) for both transition parameters (i.e. slow and fast speed), and the test power increases along with the frequency. We apply our test statistics for examining the real interest rate parity hypothesis among OECD countries. | ||
| کلیدواژهها | ||
| Keywords: Unit Root؛ Asymmetry؛ ESTAR؛ Smooth Breaks؛ Real Interest Rate Parity. JEL Classifications: C22؛ G15 | ||
| مراجع | ||
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