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Ranjbar, Omid, Chang, Tsangyao, Elmi, Zahra Mila, Lee, Chien-Chiang. (1396). A New Unit Root Test against Asymmetric ESTAR Nonlinearity with Smooth Breaks. , 22(1), 51-62. doi: 10.22059/ier.2018.65349
Omid Ranjbar; Tsangyao Chang; Zahra Mila Elmi; Chien-Chiang Lee. "A New Unit Root Test against Asymmetric ESTAR Nonlinearity with Smooth Breaks". , 22, 1, 1396, 51-62. doi: 10.22059/ier.2018.65349
Ranjbar, Omid, Chang, Tsangyao, Elmi, Zahra Mila, Lee, Chien-Chiang. (1396). 'A New Unit Root Test against Asymmetric ESTAR Nonlinearity with Smooth Breaks', , 22(1), pp. 51-62. doi: 10.22059/ier.2018.65349
Ranjbar, Omid, Chang, Tsangyao, Elmi, Zahra Mila, Lee, Chien-Chiang. A New Unit Root Test against Asymmetric ESTAR Nonlinearity with Smooth Breaks. , 1396; 22(1): 51-62. doi: 10.22059/ier.2018.65349

A New Unit Root Test against Asymmetric ESTAR Nonlinearity with Smooth Breaks

Iranian Economic Review
مقاله 3، دوره 22، شماره 1، خرداد 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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Becker, R., Enders, W., & Lee, J. (2006). A Stationary Test in the Presence of an Unknown Number of Smooth Breaks. Journal of Time Series Analysis, 27, 381–409.

Christopoulos, D. K., & Leon-Ledesma, M. A. (2010). Smooth Breaks and Non-Linear Mean Reversion: Post-Bretton Woods Real Exchange Rates. Journal of International Money and Finance, 29, 1076–1093.

Enders, W., & Lee, J. (2012). A Unit Root Test Using a Fourier Series to Approximate Smooth Breaks. Oxford Bulletin of Economics and Statistics, 74(4), 574–599.

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Sollis, R. (2009). A Simple Unit Root Test against Asymmetric STAR Nonlinearity with an Application to Real Exchange Rates in Nordic Countries. Economic Modelling, 26, 118–125.

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