Essays about: "Smooth transition autoregressive"
Showing result 1 - 5 of 6 essays containing the words Smooth transition autoregressive.
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1. Investigating Non-Linear Exchange Rate Pass-Through in Sweden: Estimates from a Logistic Smooth Transition Vector Autoregressive Model
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : This paper provides novel estimations of a non-linear exchange rate pass-through dependent on inflation for Sweden using a logistic smooth transition vector autoregressive model. The model enables smooth transitions between high and low inflation regimes, mirroring the dynamics of the economy and capturing regime-specific effects. READ MORE
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2. Term Structure Modeling near the Zero Lower Bound: Regime Switching & Monetary Policy
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : This thesis proposes a regime-switching extension to the well known autoregressive gamma and gamma-zero process nesting its linear counterpart. The affine term structure model based on the new process matches key stylized facts of interest rates during a zero lower bound period as well as in normal times. READ MORE
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3. Testing for Unit Root Processes for South American Countries
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : In this thesis, we aim to test the Purchasing Power Parity (PPP) hypothesis on data from ten di erent South American countries, using di erent statistical methods. We begin by testing the hypothesis using the standard linear tests augmented Dickey-Fuller and Phillips-Perron. READ MORE
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4. Non-linear prediction in the presence of macroeconomic regimes
University essay from Uppsala universitet/Statistiska institutionenAbstract : This paper studies the predictive performance and in-sample dynamics of three regime switching models for Swedish macroeconomic time series. The models discussed are threshold autoregressive (TAR), Markov switching autoregressive (MSM-AR), and smooth-transition autoregressive (STAR) regime switching models. READ MORE
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5. Nonlinearity In Exchange Rates : Evidence From African Economies
University essay from Uppsala universitet/Statistiska institutionenAbstract : In an effort to assess the predictive ability of exchange rate models when data on African countries is sampled, this paper studies nonlinear modelling and prediction of the nominal exchange rate series of the United States dollar to currencies of thirty-eight African states using the smooth transition autoregressive (STAR) model. A three step analysis is undertaken. READ MORE
