Weak identification in the ESTAR model and a new model

DOI10.1111/jtsa.12008zbMath1273.62204OpenAlexW2138226879MaRDI QIDQ2852497

Philipp Sibbertsen, Florian Heinen, Stefanie Michael

Publication date: 9 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12008

zbMATH Keywords

nonlinearitiesreal exchange rateslinearity testingunit root testingsmooth transition

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Non-Markovian processes: estimation (62M09) Monte Carlo methods (65C05)

Cites Work

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• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models
• Functional-Coefficient Autoregressive Models
• SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS

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