A NEW UNIT ROOT TEST AGAINST ASYMMETRIC ESTAR NONLINEARITY WITH SMOOTH BREAKS

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RANJBAR OMID; CHANG TSANGYAO; ELMI ZAHRA (MILA); LEE CHIEN CHIANG

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Journal Paper

Paper Information

Journal: IRANIAN ECONOMIC REVIEW Year:2018 | Volume:22 | Issue:1 Page(s): 51-62

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Title

A NEW UNIT ROOT TEST AGAINST ASYMMETRIC ESTAR NONLINEARITY WITH SMOOTH BREAKS

Author(s)

RANJBAR OMID | CHANG TSANGYAO | ELMI ZAHRA (MILA) | LEE CHIEN CHIANG | Issue Writer Certificate

Keywords

UNIT ROOT

ASYMMETRY

ESTAR

SMOOTH BREAKS

REAL INTEREST RATE PARITY

Abstract

this 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.

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APA: Copy

RANJBAR, OMID, CHANG, TSANGYAO, ELMI, ZAHRA (MILA), & LEE, CHIEN CHIANG. (2018). A NEW UNIT ROOT TEST AGAINST ASYMMETRIC ESTAR NONLINEARITY WITH SMOOTH BREAKS. IRANIAN ECONOMIC REVIEW, 22(1), 51-62. SID. https://sid.ir/paper/314344/en

Vancouver: Copy

RANJBAR OMID, CHANG TSANGYAO, ELMI ZAHRA (MILA), LEE CHIEN CHIANG. A NEW UNIT ROOT TEST AGAINST ASYMMETRIC ESTAR NONLINEARITY WITH SMOOTH BREAKS. IRANIAN ECONOMIC REVIEW[Internet]. 2018;22(1):51-62. Available from: https://sid.ir/paper/314344/en

IEEE: Copy

OMID RANJBAR, TSANGYAO CHANG, ZAHRA (MILA) ELMI, and CHIEN CHIANG LEE, “A NEW UNIT ROOT TEST AGAINST ASYMMETRIC ESTAR NONLINEARITY WITH SMOOTH BREAKS,” IRANIAN ECONOMIC REVIEW, vol. 22, no. 1, pp. 51–62, 2018, [Online]. Available: https://sid.ir/paper/314344/en

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