A Nonlinear Approach to Tunisian Inflation Rate

Thouraya Boujelbène Dammak and Helali Kamel

Romanian Economic Journal, 2016, vol. 19, issue 61, 147-164

Abstract: In this study, we investigated the properties and the macroeconomic performance of the nonlinearity of the Inflation Rate Set in Tunisia. We developed an inference asymptotic theory for an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. We proposed two types of tests namely asymptotic and bootstrap-based. These tests as well as the distribution theory allow a joint consideration of nonlinear thresholds and non-stationary unit roots. Our empirical results reveal a strong evidence of a threshold effect. This makes clear the possibility of non stationary and nonlinear of the Monthly Inflation Rate in Tunisia for the 1994.01-2011.06 period. While the Perron test found a unit root, our TAR unit root tests are arguably significant. Then, the evidence is quite strong that the inflation rate is not a unit root process.

Keywords: TAR models; Thresholds; nonlinear time series; nonstationary; Inflation Rate. (search for similar items in EconPapers)
JEL-codes: C01 C22 C24 E00 E31 E52 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:rej:journl:v:19:y:2016:i:61:p:147-164

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