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dc.contributor.authorHeinen, Florianen_US
dc.contributor.authorMichael, Stefanieen_US
dc.contributor.authorSibbertsen, Philippen_US
dc.date.accessioned2011-05-26en_US
dc.date.accessioned2012-11-06T15:27:22Z-
dc.date.available2012-11-06T15:27:22Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/66021-
dc.description.abstractDetermining 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.en_US
dc.language.isoengen_US
dc.publisherWirtschaftswiss. Fak., Leibniz Univ. Hannoveren_US
dc.relation.ispartofseriesDiscussion Paper, Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 474en_US
dc.subject.jelC12en_US
dc.subject.jelC22en_US
dc.subject.jelC52en_US
dc.subject.ddc330en_US
dc.subject.keywordNonlinearitiesen_US
dc.subject.keywordSmooth transitionen_US
dc.subject.keywordLinearity testingen_US
dc.subject.keywordUnit root testingen_US
dc.subject.keywordReal exchange ratesen_US
dc.subject.stwKointegrationen_US
dc.subject.stwModellierungen_US
dc.subject.stwKaufkraftparitäten_US
dc.subject.stwTheorieen_US
dc.titleTwo competitive models and their identification problem: The ESTAR and TSTAR modelen_US
dc.typeWorking Paperen_US
dc.identifier.ppn660711117en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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