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

Imene Mootamri (), Mohamed Boutahar and Anne Peguin-Feissolle ()
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Imene Mootamri: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique
Anne Peguin-Feissolle: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

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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: 2008-09-24
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Published in Economic Modelling, 2008, 26 (Issue 2, March 2009), pp.335-341. ⟨10.1016/j.econmod.2008.07.019⟩

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Journal Article: A fractionally integrated exponential STAR model applied to the US real effective exchange rate (2009)
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:hal:journl:halshs-00390134

DOI: 10.1016/j.econmod.2008.07.019

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