Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56145
Authors: 
González, Andrés
Year of Publication: 
2004
Series/Report no.: 
SSE/EFI Working Paper Series in Economics and Finance 572
Abstract: 
In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a limiting case it converges to Threshold Integrated Moving Average [TIMA] models by Gonzalo and Martinez (2003). A test of SPS against STOPBREAK process is presented. Additionally, we introduce a new test for testing SPS process against the random walk. The small sample properties of these tests are investigated by Monte Carlo experiments. An application to the stock markets is presented.
Subjects: 
Linearity test
Monte Carlo testing
Smooth transitions
Moving Averages Models
Permanent Shock
Transitory Shocks
JEL: 
C12
C15
C22
C51
C52
Document Type: 
Working Paper

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