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

Mohamed Boutahar, Imene Mootamri () 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 nonlinearity and long memory features. In this context, we use the family of fractionally integrated STAR (FISTAR) models proposed by van Dijk, Franses and Paap (2002) 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: Forecasting; Fractional integration; Nonlinearity; STAR models; Long memory; Real effective exchange rate; Forecasting. (search for similar items in EconPapers)
Date: 2008-11-22
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Related works:
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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