Template-Type: ReDIF-Paper 1.0
Author-Name: I A Venetis
Author-Name-First: I A
Author-Name-Last: Venetis
Author-Name: I Paya
Author-Name-First: I
Author-Name-Last: Paya
Author-Name: D Peel
Author-Name-First: D
Author-Name-Last: Peel
Title: ESTAR model with multiple fixed points. Testing and
Estimation
Abstract: 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.
Creation-Date: 2009
File-URL: http://www.lancaster.ac.uk/media/lancaster-university/content-assets/documents/lums/economics/working-papers/ESTAR.pdf
File-Format: application/pdf
Number: 599093
Classification-JEL: 
Keywords: ESTAR, unit toot, real interest rates
Handle: RePEc:lan:wpaper:599093