Palgrave Handbook of Econometrics: Applied Econometrics

1032 The Econometrics of Exchange Rates against nonlinearity. Rejection of the null is therefore indicative of nonlinearity and ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1033 The unrestricted ESTAR model considered here has the following form: yt∗ ...

1034 The Econometrics of Exchange Rates speeds of mean-reversion to be much faster than when it is assumed constant, with the ha ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1035 22.2.2 Threshold autoregressive (TAR) models If the transition between r ...

1036 The Econometrics of Exchange Rates estimate ofθis thenθˆ=θ(ˆˆc). Furthermore, the LS principle allows the estimation of the ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1037 The expression above is estimated using OLS for eachλ∈%and the OLS estim ...

1038 The Econometrics of Exchange Rates post-war periods. His evidence suggests that there are few profitable violations of CIP, ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1039 Estimation may be carried out by nonlinear least squares through a grid ...

1040 The Econometrics of Exchange Rates 22.3.2 Uncovered interest parity (UIP) In the absence of frictions an agent should be in ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1041 βthat does not differ significantly from unity does not imply that marke ...

1042 The Econometrics of Exchange Rates also, from (22.37): plim(̂θ− 1 )=θ− 1 = Cov(−rpt+ (^) t+n,Etst+n−st+rpt) Var(ft−st) −Var ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1043 Another important possibility is inference problems arising from the dif ...

1044 The Econometrics of Exchange Rates Such a regression appears to imply rejection of efficiency. Granger and Joyeux (1980) il ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1045 st+ 1 −st=λ 1 +θ 1 (ft−st)+[λ 2 +θ 2 (ft−st)] ×! ( st−ft− 1 ;γ ) (^) t+ ...

1046 The Econometrics of Exchange Rates whereG(·)is the transition function of an LSTAR or ESTAR model andkis the delay paramete ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1047 Krugman, cast in continuous time, is based on the log-linear monetary mo ...

1048 The Econometrics of Exchange Rates various parameter values. The simulated moments estimator is found by minimiz- ing the f ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1049 22.4.2 Smooth transition autoregressive target zone Lundbergh and Teräsv ...

1050 The Econometrics of Exchange Rates They set out a battery of diagnostic tests for the model, some of which we discussed in ...

Efthymios G. Pavlidis, Ivan Paya and David A. Peel 1051 By iterating forward we obtain: st= 1 1 +λ Et ⎛ ⎝ ∑∞ j= 0 ( λ 1 +λ )j (m ...