Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates

Christopoulos, Dimitris; León‐Ledesma, Miguel A.

doi:10.1016/j.jimonfin.2010.02.003

Cited by 188 publications

(116 citation statements)

References 41 publications

Supporting

Mentioning

110

Contrasting

Unclassified

Order By: Relevance

“…Linked to that through the Balassa-Samuelson effect, the analysis of the Purchasing Power Parity (PPP) hypothesis, through the mean reversion of real exchange rates, might also be affected by cyclicality of the real exchange rate. In a recent contribution, Christopoulos and León-Ledesma (2010), include this cyclical behaviour of the real exchange rate in their analysis of the PPP. This is the base of our empirical application in Section 5.…”

Section: The Statistical Modelmentioning

confidence: 99%

Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials

Cuestas

Gil-Alana

2016

Studies in Nonlinear Dynamics &Amp; Econometrics

View full text Add to dashboard Cite

This paper examines the interaction between non-linear deterministic trends and long run dependence by means of employing Chebyshev time polynomials and assuming that the detrended series displays long memory with the pole or singularity in the spectrum occurring at one or more possibly non-zero frequencies. The combination of the non-linear structure with the long memory framework produces a model which is linear in parameters and therefore it permits the estimation of the deterministic terms by standard OLS-GLS methods. Moreover, the orthogonality property of Chebyshev's polynomials makes them especially attractive to approximate non-linear structures of data. We present a procedure which allows us to test (possibly fractional) orders of integration at various frequencies in the presence of the Chebyshev trends with no effect on the standard limit distribution of the method. Several Monte Carlo experiments are conducted and the results indicate that the method performs well. An empirical application, using data of real exchange rates is also carried out at the end of the article.

show abstract

Section: The Statistical Modelmentioning

confidence: 99%

Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials

Cuestas

Gil-Alana

2016

Studies in Nonlinear Dynamics &Amp; Econometrics

View full text Add to dashboard Cite

show abstract

“…Although KSS and Christopoulos et al (2010) propose the critical values for their tests, they are not valid in our case, since the approximation of the deterministic components is different from those used by KSS 2 and Christopoulos et al (2010). Therefore, in table 1 we report the critical values for the test based on 50,000…”

Section: Nonlinear Unit Root Testmentioning

confidence: 94%

“…Following the approach by Christopoulos and León-Ledesma (2010), in the next section we propose a unit root test that takes into account both sources of nonlinearities, i.e. in the deterministic components, approximated by a logistic smooth transition function not only in the intercept, but also in the slope, and asymmetric adjustment of mean reversion.…”

Section: Introductionmentioning

confidence: 99%

Smooth transitions, asymmetric adjustment and unit roots

Cuestas

Ordóñez

2014

Applied Economics Letters

View full text Add to dashboard Cite

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 modelled 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.J.E.L. Classification : C12, C32.

show abstract

“…The Fourier ADF and the Fourier KSS tests developed by D. K. Christopoulos and M. A. León-Ledesma (2010) use trigonometric functions in order to capture deviations greater than the average of the dependent variable (Zhou & Kutan, 2014). The advantage of this test is its taking into account the plurality of temporary smooth structural breaks (Yılancı & Eriş, 2013).…”

Section: Methodology and Datamentioning

confidence: 99%

10.5937/ekonhor1403225g = Analyzing the efficient market hypothesis with the Fourier unit root tests: Evidence from G-20 countries

Gümüş¹,

Zeren²

2014

Ekon horizonti

View full text Add to dashboard Cite

Smooth breaks and non-linear mean reversion: Post-Bretton Woods real exchange rates

Cited by 188 publications

References 41 publications

Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials

Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials

Smooth transitions, asymmetric adjustment and unit roots

10.5937/ekonhor1403225g = Analyzing the efficient market hypothesis with the Fourier unit root tests: Evidence from G-20 countries

Contact Info

Product

Resources

About