Testing Nonlinearity: Decision Rules for Selecting between Logistic and Exponential STAR Models

A new LM specification procedure to choose between Logistic and Exponential Smooth Transition Autoregressive (STAR) models is introduced. The new decision rule has better properties than those previously available in the literature when the model is ESTAR and similar properties when the model is LSTAR. A simple natural extension of the usual LM-test for linearity is introduced and evaluated in terms of power. Monte-Carlo simulations and empirical evidence are provided in support of our claims.Publicad

Testing Nonlinearity: Decision Rules for Selecting between Logistic and Exponential STAR Models.

A new LM specification procedure to choose between Logistic and Exponential Smooth Transition Autoregressive (STAR) models is introduced. The new decision rule has better properties than those previously available in the literature when the model is ESTAR and similar properties when the model is LSTAR. A simple natural extension of the usual LM-test for linearity is introduced and evaluated in terms of power. Monte-Carlo simulations and empirical evidence are provided in support of our claims.LM linearity tests; smooth transition autoregressive models; nonlinear models;

Seasonal unit roots in trade variables

In this paper we examine the presence of seasonal unit roots in trade variables for Germany, France, the United Kingdom, and Italy, using the procedure developed by Hylleberg, Engle, Granger, and Yoo (1990) [HEGY]. Both quarterly and monthly data reject the presence of unit roots at most seasonal frequencies, more frequently in quarterly than in monthly data. This has important implications for econometric modeling of trade balance, exchange rates and income in European Union (EU) countries. En este trabajo se examina la posible presencia de raíces unitarias estacionales en variables de comercio para Alemania, Francia, Reino Unido e Italia utilizando la metodología de Hylleberg, Engle, Granger y Yoo (1990) [HEGY]. Tanto las series mensuales como las trimestrales rechazan la presencia de raíces unitarias en la mayor parte de las frecuencias estacionales, de manera más frecuente en datos trimestrales que en datos mensuales. Esto puede tener implicaciones interesantes en la modelización econométrica de variables de comercio como balanza comercial, tipos de cambio y renta, por lo menos para países de la Unión Europea (EU).Raíz unitaria estacional, metodología HEGY, ciclo, periodo, frecuencia, filtro Seasonal unit root, HEGY procedure, cycle, period, frequency, filter

STRUCTURAL CHANGE IN EXPORTS AND ECONOMIC GROWTH: COINTEGRATION AND CAUSALITY ANALYSIS FOR SPAIN (1961-2000)

In this paper the Spanish export-led growth hypothesis is re-examined from the trade liberalisation process initiated four decades ago. For this purpose it is taken under consideration both the export expansion and the progression from "traditional" exports to manufactured and semi-manufactured exports. A new evidence is reported for the above period. Alongside a feedback between aggregate exports and real output, it has been proved that the structural transformation in export composition has also become a key factor for Spain?s economic development. En este trabajo se estudia el sector exportador como motor del crecimiento económico español a partir del proceso de liberalización comercial iniciado hace cuatro décadas. Para este propósito se ha tenido en cuenta tanto la expansión de las exportaciones agregadas como el cambio en la estructura de las mismas. Los resultados indican que existe doble causalidad entre la expansión de las exportaciones y el crecimiento de la producción real y que, además, la transformación experimentada en la estructura exportadora hacia los sectores tecnológicos y manufactureros ha sido un factor clave en el desarrollo económico español de los últimos años.estructura exportadora, crecimiento económico, causalidad structural change in exports, economic growth, causality