A fractionally integrated exponential STAR model applied to the US real effective exchange rate

Mohamed Boutahar, Imène Mootamri and Anne Péguin-Feissolle

Economic Modelling, 2009, vol. 26, issue 2, 335-341

Abstract: The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing non-linearity and long-memory features. In this context, we use the family of fractionally integrated STAR (FISTAR) models proposed by van Dijk et al. (van Dijk, D., Franses, P.H., and Paap, R., 2002. A non-linear longmemory model with an application to US unemployment. Journal of Econometrics 110, 135-165.) in the case when the transition function is an exponential function and we develop an estimation procedure. Indeed, these models can take into account processes characterized by several distinct dynamic regimes and persistence phenomena.

Keywords: Fractional; integration; Non-linearity; STAR; models; Long-memory; Real; effective; exchange; rate; Forecasting (search for similar items in EconPapers)
Date: 2009
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Working Paper: A fractionally integrated exponential STAR model applied to the US real effective exchange rate (2008)
Working Paper: A fractionally integrated exponential STAR model applied to the US real effective exchange rate (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:26:y:2009:i:2:p:335-341

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