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A Nonlinear Approach to Tunisian Inflation Rate

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  • Thouraya Boujelbène Dammak
  • Kamel Helali

Abstract

In this study, we investigated the properties and the macroeconomic performance of the nonlinearity of the Inflation Rate Set in Tunisia. We developed an inference asymptotic theory for an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. We proposed two types of tests namely asymptotic and bootstrap-based. These tests as well as the distribution theory allow a joint consideration of nonlinear thresholds and non-stationary unit roots. Our empirical results reveal a strong evidence of a threshold effect. This makes clear the possibility of non stationary and nonlinear of the Monthly Inflation Rate in Tunisia for the 1994.01-2011.06 period. While the Perron test found a unit root, our TAR unit root tests are arguably significant. Then, the evidence is quite strong that the inflation rate is not a unit root process.

Suggested Citation

  • Thouraya Boujelbène Dammak & Kamel Helali, 2016. "A Nonlinear Approach to Tunisian Inflation Rate," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 19(61), pages 147-164, September.
    • Handle: RePEc:rej:journl:v:19:y:2016:i:61:p:147-164
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    References listed on IDEAS

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    6. Hansen, Bruce E., 1999. "Threshold effects in non-dynamic panels: Estimation, testing, and inference," Journal of Econometrics, Elsevier, vol. 93(2), pages 345-368, December.
    7. Mehmet Caner & Bruce E. Hansen, 2001. "Threshold Autoregression with a Unit Root," Econometrica, Econometric Society, vol. 69(6), pages 1555-1596, November.
    8. Gao, Jiti & Tjøstheim, Dag & Yin, Jiying, 2013. "Estimation in threshold autoregressive models with a stationary and a unit root regime," Journal of Econometrics, Elsevier, vol. 172(1), pages 1-13.
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    Cited by:

    1. Wissem Boukraine, 2020. "Inflation Dynamics in Tunisia: a Smooth Transition Autoregressive Approach," Economic Research Guardian, Weissberg Publishing, vol. 10(2), pages 122-143, December.

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    More about this item

    Keywords

    TAR models; Thresholds; nonlinear time series; nonstationary; Inflation Rate.;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models
    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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