How to cite this paper
Selmi, N., Ettbib, R & Hachicha, N. (2015). Nonlinear adjustment of real exchange rate towards purchasing power parity from G7: An exponential FISTAR modelling.Management Science Letters , 5(2), 157-166.
Refrences
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Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control, 19(6), 716-723.
Boutahar, M., Mootamri, I., & Feissolle, P. A. (2009). A fractionally integrated exponential STAR model applied to the US real effective exchange rate. Journal of Economic Modelling, 26, 335-341.
Chortareas, G., Jiang, Y., & Nankervis, J. C. (2011). The random-walk behavior of the euro exchange rate. Finance Research Letters, 8(3), 158-162.
Choudhri, E. U., & Schembri, L. L. (2014). Productivity, commodity prices and the real exchange rate: The long-run behavior of the Canada–US exchange rate. International Review of Economics & Finance, 29, 537-551.
Clarida, R. H., & Taylor, M. P. (2003). Nonlinear permanent-temporary decomposition, with applications in macroeconomics and finance. The Economic Journal, 113, 125-139.
de Jes?s, R., Ortiz, E., & Cabello, A. (2013). Long run peso/dollar exchange rates and extreme value behavior: Value at Risk modeling. The North American Journal of Economics and Finance, 24, 139-152.
Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 27-431.
Elliot, G., Stock, J.H., & Rothenberg, T., (1996). Efficient tests of an autoregressive unit root. Econometrica, 64, 813-836.
Engle, R., & Granger, C. (1987). Cointegration and error correction: representation, estimation and testing. Econometrica, 55, 251-276.
Eun, C. S., Kim, S. H., & Lee, K. (2014). Currency competition between the dollar and euro: Evidence from exchange rate behaviors. Finance Research Letters.
Franses, P. H., & Paap, R. (2002). Censored latent effects autoregression, with an application to US unemployment. Journal of Applied Econometrics, 17, 347-366.
Franses, P. H., & van Dijk, D., (2000). Nonlinear Time Series Models in Empirical Finance. Cambridge University Press, Cambridge.
Granger, C. W. J., & Joyeux, R. (1980). An introduction to long-range time series models and fractional differencing. Journal of Time Series Analysis, 1, 15-29.
Hosking, J. R. M., (1981). Fractional differencing. Biometrika, 68, 165-176.
Katusiime, L., Shamsuddin, A., & Agbola, F. W. (2015). Macroeconomic and market microstructure modelling of Ugandan exchange rate. Economic Modelling, 45, 175-186.
Kwiatkowski, D., Phillips, P.C.B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54,159-178.
Mandelbrot, B.B. (1977). Fractals: Form, Chance, and Dimension. Free Press, New York.
McMillan, D. G. (2009). The confusing time-series behaviour of real exchange rates: Are asymmetries important?. Journal of International Financial Markets, Institutions and Money, 19(4), 692-711.
Phillips, P.C.B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75, 335-346.
Sarantis, N. (1999). Modelling non-linearities in real effective exchange rates. Journal of International Money and Finance, 18, 27-45.
Sarno, L., & Taylor, M. (2001). Real exchange rate dynamics in transition economies: a nonlinear analysis. Studies in Nonlinear Dynamics and Econometrics, 5, 153-177.
Schwarz, G. (1978). Estimating the dimension of a model. Annals of Statistics, 6, 461-464.
Smallwood, A. D. (2005). Joint tests for long memory and non-linearity: the case of purchasing power parity. Studies in Nonlinear Dynamics and Econometrics, 9, 1-28.
Smallwood, A. D. (2008). Measuring the persistence of deviations from purchasing power parity with a fractionally integrated STAR model. Journal of International Money and Finance, 27, 1161-1176.
Taylor, M.P., Peel, D.A., & Sarno, L. (2001). Nonlinear mean-reversion in real exchange rates: toward a solution to the purchasing power parity puzzles. International Economic Review, 4, 1015-1041.
Ter?svirta, T. (1994). Specification, estimation, and evaluation of smooth transition autoregressive models. Journal of the American Statistical Association, 89, 208-218.
van Dijk, D., Franses, P. H., & Paap, R. (2002). A nonlinear long-memory model with an application to US unemployment. Journal of Econometrics, 110, 135-165.
Akaike, H. (1974). A new look at the statistical model identification. IEEE Transactions on Automatic Control, 19(6), 716-723.
Boutahar, M., Mootamri, I., & Feissolle, P. A. (2009). A fractionally integrated exponential STAR model applied to the US real effective exchange rate. Journal of Economic Modelling, 26, 335-341.
Chortareas, G., Jiang, Y., & Nankervis, J. C. (2011). The random-walk behavior of the euro exchange rate. Finance Research Letters, 8(3), 158-162.
Choudhri, E. U., & Schembri, L. L. (2014). Productivity, commodity prices and the real exchange rate: The long-run behavior of the Canada–US exchange rate. International Review of Economics & Finance, 29, 537-551.
Clarida, R. H., & Taylor, M. P. (2003). Nonlinear permanent-temporary decomposition, with applications in macroeconomics and finance. The Economic Journal, 113, 125-139.
de Jes?s, R., Ortiz, E., & Cabello, A. (2013). Long run peso/dollar exchange rates and extreme value behavior: Value at Risk modeling. The North American Journal of Economics and Finance, 24, 139-152.
Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 27-431.
Elliot, G., Stock, J.H., & Rothenberg, T., (1996). Efficient tests of an autoregressive unit root. Econometrica, 64, 813-836.
Engle, R., & Granger, C. (1987). Cointegration and error correction: representation, estimation and testing. Econometrica, 55, 251-276.
Eun, C. S., Kim, S. H., & Lee, K. (2014). Currency competition between the dollar and euro: Evidence from exchange rate behaviors. Finance Research Letters.
Franses, P. H., & Paap, R. (2002). Censored latent effects autoregression, with an application to US unemployment. Journal of Applied Econometrics, 17, 347-366.
Franses, P. H., & van Dijk, D., (2000). Nonlinear Time Series Models in Empirical Finance. Cambridge University Press, Cambridge.
Granger, C. W. J., & Joyeux, R. (1980). An introduction to long-range time series models and fractional differencing. Journal of Time Series Analysis, 1, 15-29.
Hosking, J. R. M., (1981). Fractional differencing. Biometrika, 68, 165-176.
Katusiime, L., Shamsuddin, A., & Agbola, F. W. (2015). Macroeconomic and market microstructure modelling of Ugandan exchange rate. Economic Modelling, 45, 175-186.
Kwiatkowski, D., Phillips, P.C.B., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics, 54,159-178.
Mandelbrot, B.B. (1977). Fractals: Form, Chance, and Dimension. Free Press, New York.
McMillan, D. G. (2009). The confusing time-series behaviour of real exchange rates: Are asymmetries important?. Journal of International Financial Markets, Institutions and Money, 19(4), 692-711.
Phillips, P.C.B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75, 335-346.
Sarantis, N. (1999). Modelling non-linearities in real effective exchange rates. Journal of International Money and Finance, 18, 27-45.
Sarno, L., & Taylor, M. (2001). Real exchange rate dynamics in transition economies: a nonlinear analysis. Studies in Nonlinear Dynamics and Econometrics, 5, 153-177.
Schwarz, G. (1978). Estimating the dimension of a model. Annals of Statistics, 6, 461-464.
Smallwood, A. D. (2005). Joint tests for long memory and non-linearity: the case of purchasing power parity. Studies in Nonlinear Dynamics and Econometrics, 9, 1-28.
Smallwood, A. D. (2008). Measuring the persistence of deviations from purchasing power parity with a fractionally integrated STAR model. Journal of International Money and Finance, 27, 1161-1176.
Taylor, M.P., Peel, D.A., & Sarno, L. (2001). Nonlinear mean-reversion in real exchange rates: toward a solution to the purchasing power parity puzzles. International Economic Review, 4, 1015-1041.
Ter?svirta, T. (1994). Specification, estimation, and evaluation of smooth transition autoregressive models. Journal of the American Statistical Association, 89, 208-218.
van Dijk, D., Franses, P. H., & Paap, R. (2002). A nonlinear long-memory model with an application to US unemployment. Journal of Econometrics, 110, 135-165.