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Title:Two competitive models and their identification problem: The ESTAR and TSTAR model PDF Logo
Authors:Heinen, Florian
Michael, Stefanie
Sibbertsen, Philipp
Issue Date:2011
Series/Report no.:Discussion Paper, Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 474
Abstract:Determining good parameter estimates in ESTAR models is known to be diffcult. We show that the phenomena of getting strongly biased estimators is a consequence of the so-called identifcation problem, the problem of properly distinguishing the transition function in relation to extreme parameter combinations. This happens in particular for either very small or very large values of the error term variance. Furthermore, we introduce a new alternative model -the TSTAR model- which has similar properties as the ESTAR model but reduces the effects of the identifcation problem. We also derive a linearity and a unit root test for this model.
Subjects:Nonlinearities
Smooth transition
Linearity testing
Unit root testing
Real exchange rates
JEL:C12
C22
C52
Document Type:Working Paper
Appears in Collections:Diskussionspapiere, Wirtschaftswissenschaftliche Fakultät, Universität Hannover

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