1999
DOI: 10.1016/s0261-5606(98)00045-x
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Modeling non-linearities in real effective exchange rates

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Cited by 196 publications
(132 citation statements)
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“…Examples include the Gaussian transformation and the Logistic Smooth Transition Autoregressive (LST AR) process which has been used in applications by van Dijk, Frances, andPaap (2002), Michael, Nobay, andPeel (1997) and Sarantis (1999) among others. However, the EST AR model has the advantage of neatly representing the fact that many time series realizations appear highly persistent with close to unit root behavior, for small absolute deviations from the process's attractor.…”
Section: Nonlinear-long Memory Modelsmentioning
confidence: 99%
“…Examples include the Gaussian transformation and the Logistic Smooth Transition Autoregressive (LST AR) process which has been used in applications by van Dijk, Frances, andPaap (2002), Michael, Nobay, andPeel (1997) and Sarantis (1999) among others. However, the EST AR model has the advantage of neatly representing the fact that many time series realizations appear highly persistent with close to unit root behavior, for small absolute deviations from the process's attractor.…”
Section: Nonlinear-long Memory Modelsmentioning
confidence: 99%
“…On the contrary, a lot of empirical studies on real exchange rates report significant estimates of c, cf. Michael et al (1997), Sarantis (1999), Taylor et al (2001) and more recently, Rapach and Wohar (2006). When relaxing this assumption, we are faced with a non-standard testing problem, i.e.…”
Section: Introductionmentioning
confidence: 99%
“…Ensuite, Anderson (1997) a proposé une extension de ces modèles où l'ajustement est plutôt lisse contrairement au modèle de Balke et Fomby (1997) où l'ajustement est brutal. Par suite à ces travaux, les modèles de cointégration à seuil ont fait l'objet de plusieurs analyses empiriques tels que ceux de Escribano (1997), Michael, Peel et Taylor (1997), Dufrénot et Mignon (2002), Sarantis (1999), ainsi que Rothman, Van Dijk et Franses (2001) et Dufrénot et al (2003). Ces travaux ont appliqué les modèles de cointégration à seuil aux différents marchés pour tenir compte des dynamiques non linéaire, dont les sources ont été discutées plus haut (coûts de transaction, hétérogénéité des investisseurs).…”
Section: Le Modèle Stecmunclassified