1403/03/25

زهرا میلا علمی

مرتبه علمی: استاد
ارکید:
تحصیلات: دکترای تخصصی
اسکاپوس:
دانشکده: دانشکده علوم اقتصادی و اداری
نشانی:
تلفن: 09112153929

مشخصات پژوهش

عنوان
A New Unit Root Test against Asymmetric ESTAR Nonlinearity with Smooth Breaks
نوع پژوهش
JournalPaper
کلیدواژه‌ها
Keywords: Unit Root; Asymmetry; ESTAR; Smooth Breaks; Real Interest Rate Parity. JEL Classifications: C22; G15
سال
2018
مجله Iranian Economic Review
شناسه DOI
پژوهشگران Omid Ranjbar ، Tsangyao chang ، Zahra Mila Elmi ، Chien-Chiang lee

چکیده

his paper proposes a new unit root test against the alternative of symmetric or asymmetric exponential smooth transition autoregressive (AESTAR) nonlinearity that accounts for multiple smooth breaks. We provide small sample properties which indicate the test statistics have good empirical size and power. Also, we compared small sample properties of the test statistics with Christopoulos and Leon-Ledesma (2010) test. The results indicate that our unit root test approach is superior to the test method of Christopoulos and Leon-Ledesma (2010) for both transition parameters (i.e. slow and fast speed), and the test power increases along with the frequency. We apply our test statistics for examining the real interest rate parity hypothesis among OECD countries