Smooth Transitions Asymmetric Adjustment And Unit Roots

Lógica	Matemáticas	Astronomía y Astrofísica	Física	Química	Ciencias de la Vida
Ciencias de la Tierra y Espacio	Ciencias Agrarias	Ciencias Médicas	Ciencias Tecnológicas	Antropología	Demografía
Ciencias Económicas	Geografía	Historia	Ciencias Jurídicas y Derecho	Lingüística	Pedagogía
Ciencia Política	Psicología	Artes y Letras	Sociología	Ética	Filosofía

Smooth transitions, asymmetric adjustment and unit roots

1) La descarga del recurso depende de la página de origen
2) Para poder descargar el recurso, es necesario ser usuario
registrado en Universia

Descargar recurso

Detalles del recurso

Pertenece a: White Rose Research Online

Descripción: The aim of this paper is to develop a unit root test that takes into account two sources of nonlinearites in data, i.e. asymmetric speed of mean reversion and structural changes. The asymmetric speed of mean reversion is modeled by means of a exponential smooth transition autoregression (ESTAR) function for the autoregressive parameter, whereas structural changes are approximated by a smooth transition in the deterministic components. We find that the proposed test performs well in terms of size and power, in particular when the autoregressive parameter is close to one.

Autor(es): Cuestas, J.C. - Ordóñez, J. -

Id.: 55259475

Versión: 1.0

Estado: Final

Tipo: application/pdf -

Tipo de recurso: Monograph - NonPeerReviewed -

Tipo de Interactividad: Expositivo

Nivel de Interactividad: muy bajo

Audiencia: Estudiante - Profesor - Autor -

Estructura: Atomic

Coste: no

Copyright: sí

Formatos: application/pdf -

Requerimientos técnicos: Browser: Any -

Relación: [References] http://www.shef.ac.uk/economics/research/serps/year
[References] http://eprints.whiterose.ac.uk/43892/

Fecha de contribución: 05-may-2012

Contacto:

Localización:
* Cuestas, J.C. and Ordóñez, J. (2012) Smooth transitions, asymmetric adjustment and unit roots. Working Paper. Sheffield Economic Research Paper Series . Department of Economics, University of Sheffield ISSN 1749-8368

Otros recursos del mismo autor(es)

TRY - a global database of plant traits
First Reduce or First Quantize? A Lagrangian Approach and Application to Coset Spaces A Lagrangian treatment of the quantization of first class Hamiltonian systems with constraints and H...
Real convergence in Europe: a cluster analysis In this paper we analyse real convergence in GDP per worker in the EU member states. The aim is to t...
Coronary artery disease: combination of clinical risk profile, early exercise testing and circulating biomarkers for evaluation of patients with acute chest pain without ST-segment deviation or troponin elevation
Analysis of the photovoltaic solar energy capacity of residential rooftops in Andalusia (Spain) Fossil fuel energy resources are becoming increasingly scarce. Given the negative environmental impa...

Otros recursos de la misma colección

Engaging with books you cannot touch: interactive multimedia to explore library treasures Interactivity has proved a successful way to engage visitors of science museums. However it is not a...
Improved parallel mesh generation through dynamic load-balancing Parallel mesh generation is an important feature of any large distributed memory parallel computatio...
Men in the remaking: Conversion narratives and born-again masculinity in Zambia The born-again discourse is a central characteristic of Pentecostal Christianity in Africa. In the s...
A Two-phase Approach for Real-world Train Unit Scheduling A two-phase approach for the train unit scheduling problem is proposed. The first phase assigns and ...
Occupation time distributions for the telegraph process For the one-dimensional telegraph process, we obtain explicitly the distribution of the occupation t...

Valoración de los usuarios

No hay ninguna valoración para este recurso.Sea el primero en valorar este recurso.