2024 : 5 : 27

Zahra Mila Elmi

Academic rank: Professor
ORCID:
Education: PhD.
ScopusId:
Faculty: Faculty of Economics and Administrative Sciences
Address:
Phone: 09112153929

Research

Title
A New Unit Root Test against Asymmetric ESTAR Nonlinearity with Smooth Breaks
Type
JournalPaper
Keywords
Keywords: Unit Root; Asymmetry; ESTAR; Smooth Breaks; Real Interest Rate Parity. JEL Classifications: C22; G15
Year
2018
Journal Iranian Economic Review
DOI
Researchers Omid Ranjbar ، Tsangyao chang ، Zahra Mila Elmi ، Chien-Chiang lee

Abstract

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