IDEAS home Printed from https://ideas.repec.org/a/eee/ecolet/v117y2012i1p268-271.html
   My bibliography  Save this article

On tests for linearity against STAR models with deterministic trends

Author

Listed:
  • Kaufmann, Hendrik
  • Kruse, Robinson
  • Sibbertsen, Philipp

Abstract

Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this work. Our findings show, in contrast to results recently reported in Zhang (2012), that linearity tests against STAR models lead to useful results in this setting.

Suggested Citation

  • Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012. "On tests for linearity against STAR models with deterministic trends," Economics Letters, Elsevier, vol. 117(1), pages 268-271.
    • Handle: RePEc:eee:ecolet:v:117:y:2012:i:1:p:268-271
    DOI: 10.1016/j.econlet.2012.05.025
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0165176512002935
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.econlet.2012.05.025?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2012. "What do we know about real exchange rate nonlinearities?," Empirical Economics, Springer, vol. 43(2), pages 457-474, October.
    2. Taylor, Mark P & Peel, David A & Sarno, Lucio, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1015-1042, November.
    3. Eric Hillebrand & Tae-Hwy Lee, 2012. "Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors," Advances in Econometrics, in: 30th Anniversary Edition, pages 171-196, Emerald Group Publishing Limited.
    4. Zhang, Lingxiang, 2012. "Test for linearity against STAR models with deterministic trends," Economics Letters, Elsevier, vol. 115(1), pages 16-19.
    5. Juan Cuestas & Dean Garratt, 2011. "Is real GDP per capita a stationary process? Smooth transitions, nonlinear trends and unit root testing," Empirical Economics, Springer, vol. 41(3), pages 555-563, December.
    6. David I. Harvey & Stephen J. Leybourne, 2007. "Testing for time series linearity," Econometrics Journal, Royal Economic Society, vol. 10(1), pages 149-165, March.
    7. Rickard Sandberg, 2008. "Critical values for linearity tests in time-varying smooth transition autoregressive models when data are highly persistent," Econometrics Journal, Royal Economic Society, vol. 11(3), pages 638-647, November.
    8. Kock, Anders Bredahl & Callot, Laurent, 2015. "Oracle inequalities for high dimensional vector autoregressions," Journal of Econometrics, Elsevier, vol. 186(2), pages 325-344.
    9. Rehim Kilic, 2004. "Linearity tests and stationarity," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 55-62, June.
    10. Matt Dziubinski & Stefano Grassi, 2014. "Heterogeneous Computing in Economics: A Simplified Approach," Computational Economics, Springer;Society for Computational Economics, vol. 43(4), pages 485-495, April.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. repec:lan:wpaper:2592 is not listed on IDEAS
    2. Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie, 2015. "The impact of financial crises on the risk–return tradeoff and the leverage effect," Economic Modelling, Elsevier, vol. 49(C), pages 407-418.
    3. repec:lan:wpaper:2369 is not listed on IDEAS
    4. E Pavlidis & I Paya & D Peel, 2009. "Forecasting the Real Exchange Rate using a Long Span of Data. A Rematch: Linear vs Nonlinear," Working Papers 601190, Lancaster University Management School, Economics Department.
    5. Lingxiang Zhang, 2020. "Linearity tests and stochastic trend under the STAR framework," Statistical Papers, Springer, vol. 61(6), pages 2271-2282, December.
    6. repec:lan:wpaper:2450 is not listed on IDEAS
    7. Pavlidis, Efthymios G. & Paya, Ivan & Peel, David A., 2011. "Real exchange rates and time-varying trade costs," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1157-1179, October.
    8. Gawon Yoon, 2010. "Nonlinearity in real exchange rates: an approach with disaggregated data and a new linearity test," Applied Economics Letters, Taylor & Francis Journals, vol. 17(11), pages 1125-1132.
    9. Rehim Kılıç, 2016. "Tests for Linearity in Star Models: Supwald and Lm-Type Tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(5), pages 660-674, September.
    10. Sollis, Robert, 2008. "U.S. dollar real exchange rates: Nonlinearity revisited," Journal of International Money and Finance, Elsevier, vol. 27(4), pages 516-528, June.
    11. Cuestas, Juan Carlos & Regis, Paulo José, 2013. "Purchasing power parity in OECD countries: Nonlinear unit root tests revisited," Economic Modelling, Elsevier, vol. 32(C), pages 343-346.
    12. Sandberg, Rickard, 2016. "Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined," Economic Modelling, Elsevier, vol. 52(PB), pages 699-713.
    13. Gawon Yoon, 2010. "Nonlinear mean-reversion to purchasing power parity: exponential smooth transition autoregressive models and stochastic unit root processes," Applied Economics, Taylor & Francis Journals, vol. 42(4), pages 489-496.
    14. repec:lan:wpaper:2370 is not listed on IDEAS
    15. Beckmann, Joscha, 2013. "Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 176-190.
    16. repec:lan:wpaper:2451 is not listed on IDEAS
    17. Ahmad, Yamin & Lo, Ming Chien & Mykhaylova, Olena, 2013. "Causes of nonlinearities in low-order models of the real exchange rate," Journal of International Economics, Elsevier, vol. 91(1), pages 128-141.
    18. Gawon Yoon, 2010. "On the performance of a nonparametric measure of convergence towards purchasing power parity in the presence of linearity," Applied Economics Letters, Taylor & Francis Journals, vol. 17(14), pages 1389-1396.
    19. repec:lan:wpaper:2593 is not listed on IDEAS
    20. Burns, Kelly & Moosa, Imad A., 2015. "Enhancing the forecasting power of exchange rate models by introducing nonlinearity: Does it work?," Economic Modelling, Elsevier, vol. 50(C), pages 27-39.
    21. Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2008. "3-Regime symmetric STAR modeling and exchange rate reversion," Working Papers 2009_05, Business School - Economics, University of Glasgow, revised Feb 2009.
    22. Aloy, Marcel & Boutahar, Mohamed & Gente, Karine & Péguin-Feissolle, Anne, 2011. "Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?," Economic Modelling, Elsevier, vol. 28(3), pages 1279-1290, May.
    23. Mario Cerrato & Hyunsok Kim & Ronald Macdonald, 2010. "Three‐Regime Asymmetric STAR Modeling and Exchange Rate Reversion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1447-1467, October.
    24. Yamin Ahmad & Stuart Glosser, 2011. "Searching for nonlinearities in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 43(15), pages 1829-1845.
    25. repec:zbw:rwirep:0272 is not listed on IDEAS
    26. Aaron D. Smallwood, 2016. "A Monte Carlo Investigation of Unit Root Tests and Long Memory in Detecting Mean Reversion in I(0) Regime Switching, Structural Break, and Nonlinear Data," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 986-1012, June.
    27. Joscha Beckmann, 2011. "Nonlinear Adjustment, Purchasing Power Parity and the Role of Nominal Exchange Rates and Prices," Ruhr Economic Papers 0272, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.

    More about this item

    Keywords

    Nonlinearity; Smooth transition; Deterministic trend;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ecolet:v:117:y:2012:i:1:p:268-271. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/ecolet .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.