Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/38751
Authors: 
Donauer, Stefanie
Heinen, Florian
Sibbertsen, Philipp
Year of Publication: 
2010
Series/Report no.: 
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät // Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 444
Abstract: 
In ESTAR models it is usually difficult to determine parameter estimates, as it can be observed in the literature. We show that the phenomena of getting strongly biased estimators is a consequence of the so-called identification 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 T-STAR model - which has similar properties as the ESTAR model but reduces the effects of the identification 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

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