Testing for linear cointegration against nonlinear cointegration: Theory and application to Purchasing power parity
نویسندگان
چکیده
In this thesis, we study a smooth-transition type of nonlinear cointegration among a dynamic system. Base on the Logistic Smooth Transition Autoregressive (LSTAR) models, the definition of cointegration which is extended form Engle and Granger (1987)’s definition of linear cointegration is introduced. Then statistical test for linear cointegration against nonlinear cointegration is derived. The statistical properties of this test are investigated and the asymptotic distribution of statistics is obtained by Monte Carlo simulation. We apply this testing theory into an empirical example which concern dollar/lira real exchange rate. We find that there is nonlinearly cointegrating relation in this purchasing power parity (PPP) dynamic system and the PPP puzzle in Hamilton (1994) can be explained by nonlinear cointegration defined in this essay.
منابع مشابه
Nonlinear cointegration: Theory and Application to Purchasing Power Parity
In this paper, we study a smooth-transition type of nonlinear cointegration among a dynamic system, in which the proposed definition nests Engle and Granger (1987)’s linear cointegration. Based on the Smooth Transition Autoregressive (STAR) models, a triangular representation for the nonlinearly cointegrated system is introduced. Furthermore, two tests for nonlinear cointegration are derived in...
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