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dc.contributor.authorHeinen, Florianen
dc.contributor.authorMichael, Stefanieen
dc.contributor.authorSibbertsen, Philippen
dc.date.accessioned2011-05-26-
dc.date.accessioned2012-11-06T15:27:22Z-
dc.date.available2012-11-06T15:27:22Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aLeibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät |cHannoveren
dc.relation.ispartofseries|aDiskussionsbeitrag |x474en
dc.subject.jelC12en
dc.subject.jelC22en
dc.subject.jelC52en
dc.subject.ddc330en
dc.subject.keywordNonlinearitiesen
dc.subject.keywordSmooth transitionen
dc.subject.keywordLinearity testingen
dc.subject.keywordUnit root testingen
dc.subject.keywordReal exchange ratesen
dc.subject.stwKointegrationen
dc.subject.stwModellierungen
dc.subject.stwKaufkraftparitäten
dc.subject.stwTheorieen
dc.titleTwo competitive models and their identification problem: The ESTAR and TSTAR model-
dc.typeWorking Paperen
dc.identifier.ppn660711117en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:han:dpaper:dp-474en

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