This paper uses semiparametric techniques to estimate a model of exchange rate determination and compare it to a parametric LSTAR specification. In both cases the nonlinearities are modeled as part of the conditional mean of the process, rather than of its variance. Using a panel dataset for five East European countries for years 1993 2001, it results that the non parametric data-driven estimat...

This paper proposes an alternative representation of the original version of the Logistic Smooth Transition Auto-Regressive (LSTAR) model. The Logistic Smooth Transition Auto-Regressive (LSTAR) and Exponential Smooth Transition Auto-Regressive (FSTAR) models are frequently used in empirical research. The LSTAR model describes asymmetrical nonlinear adjustment process, while the ESTAR model desc...

Evidence of smooth transition autoregressive (STAR) representations is found in two, out of three, time series of different measures of annual inflation in Colombia during this decade for monthly data. The STAR-type nonlinearities are asymmetric for inflation computed as the variation of CPI while for (a measure of ) core inflation are symmetric. Thus, LSTAR and ESTAR models were, respectively,...

Prediction of the economy in global markets is crucial importance for individuals, decisionmakers, and policies. To this end, effectiveness modeling forecasting directions such leading indicators importance. For purpose, we analyzed Baltic Dry Index (BDI), Investor Sentiment (VIX), Global Stock Market Indicator (MSCI) their distributional characteristics to proposed econometric methods. Among t...