Arbeitspapier
Testing for cointegration in a double-LSTR framework
This paper investigates the finite-sample properties of the smooth transition-based cointegration test proposed by Kapetanios et al. (2006) when the data generating process under the alternative hypothesis is a globally stationary second order LSTR model. The provided procedure describes an application to long-run equilibrium relations involving real exchange rates with symmetric behaviour. We utilise the properties of the double LSTR transition function that features unit root behaviour within the inner regime and symmetric behaviour in the outer regimes. Hence, under the null hypothesis we imply no cointegration and globally stationary D-LSTR cointegration under the alternative. As a result of the identification problem the limiting distribution derived under the null hypothesis is non-standard. The Double LSTR is capable of producing three-regime TAR nonlinearity when the transition parameter tends to infinity as well as generating exponential-type nonlinearity that closely approximates ESTR nonlinearity. Therefore, we find that the Double LSTR error correction model has power against both of these alternatives.
- Language
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Englisch
- Bibliographic citation
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Series: Diskussionsbeitrag ; No. 514
- Classification
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Wirtschaft
Hypothesis Testing: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Subject
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Cointegration tests
LSTR
Monte carlo simulation
Nonlinear error correction
- Event
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Geistige Schöpfung
- (who)
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Grote, Claudia
Sibbertsen, Philipp
- Event
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Veröffentlichung
- (who)
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Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (where)
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Hannover
- (when)
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2013
- Handle
- Last update
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20.09.2024, 8:21 AM CEST
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Grote, Claudia
- Sibbertsen, Philipp
- Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Time of origin
- 2013
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