TESTING FISCAL REACTION FUNCTION IN IRAN: AN APPLICATION OF NONLINEAR DICKEY-FULLER (NDF) TEST

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JAFARI SAMIMI AHMAD; KARIMI PETANLAR SAEED; MONTAZERI SHOOREKCHALI JALAL

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Journal Paper

Paper Information

Journal: IRANIAN ECONOMIC REVIEW Year:2017 | Volume:21 | Issue:3 Page(s): 567-581

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Title

TESTING FISCAL REACTION FUNCTION IN IRAN: AN APPLICATION OF NONLINEAR DICKEY-FULLER (NDF) TEST

Author(s)

JAFARI SAMIMI AHMAD | KARIMI PETANLAR SAEED | MONTAZERI SHOOREKCHALI JALAL | Issue Writer Certificate

Keywords

UNIT ROOT TEST

NONLINEAR DICKEY-FULLER (NDF) TEST

STR MODEL

FISCAL REACTION FUNCTION

IRAN

Abstract

this paper is to convince the usage of the nonlinear UNIT ROOT TESTs when dealing with a nonlinear model. To do so, the stationary test for variables in a model titles “ FISCAL REACTION FUNCTION in IRAN” has been applied according to both the ordinary and the Nonlinear Dickey-Fuller (NDF) tests. Results show that while variables under investigation are stationary in a nonlinear form, augmented Dickey-Fuller test indicates tendency to fail and reject the null hypothesis of a unit root in the presence of nonlinear dynamics. Therefore based on the results of Nonlinear Dickey-Fuller (NDF), the paper estimates the FISCAL REACTION FUNCTION (FRF) in IRAN. The estimated nonlinear regression supports a threshold behavior of two regimes in applying the fiscal reaction. Finally, findings confirm that fiscal policy in IRAN is countercyclical though not sensitive in order to react to accumulation of the government debt.

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APA: Copy

JAFARI SAMIMI, AHMAD, KARIMI PETANLAR, SAEED, & MONTAZERI SHOOREKCHALI, JALAL. (2017). TESTING FISCAL REACTION FUNCTION IN IRAN: AN APPLICATION OF NONLINEAR DICKEY-FULLER (NDF) TEST. IRANIAN ECONOMIC REVIEW, 21(3), 567-581. SID. https://sid.ir/paper/314361/en

Vancouver: Copy

JAFARI SAMIMI AHMAD, KARIMI PETANLAR SAEED, MONTAZERI SHOOREKCHALI JALAL. TESTING FISCAL REACTION FUNCTION IN IRAN: AN APPLICATION OF NONLINEAR DICKEY-FULLER (NDF) TEST. IRANIAN ECONOMIC REVIEW[Internet]. 2017;21(3):567-581. Available from: https://sid.ir/paper/314361/en

IEEE: Copy

AHMAD JAFARI SAMIMI, SAEED KARIMI PETANLAR, and JALAL MONTAZERI SHOOREKCHALI, “TESTING FISCAL REACTION FUNCTION IN IRAN: AN APPLICATION OF NONLINEAR DICKEY-FULLER (NDF) TEST,” IRANIAN ECONOMIC REVIEW, vol. 21, no. 3, pp. 567–581, 2017, [Online]. Available: https://sid.ir/paper/314361/en

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