Template-type: ReDIF-Paper 1.0
Author-Name:Anders Rahbek 
Author-Email: rahbek@stat.ku.dk 
Author-Homepage: www.stat.ku.dk/~rahbek/
Author-Workplace-Name:Dept of Statistics and Operations Research, University of Copenhagen
Author-Name: Neil Shephard
Author-Email: neil.shephard@nuffield.ox.ac.uk
Author-Homepage: http://www.nuff.ox.ac.uk/users/shephard/
Author-Workplace-Name:Nuffield College, Oxford
Author-Workplace-Homepage:http://www.nuff.ox.ac.uk/
Title:Autoregressive conditional root model
Abstract:
  In this paper we develop a time series model which allows long-term disequilibriums
  to have epochs of non-stationarity, giving the impression that long term
  relationships between economic variables have temporarily broken down, before they
  endogenously collapse back towards their long term relationship. This
  autoregressive root model is shown to be ergodic and covariance stationary under
  some rather general conditions. We study how this model can be estimated and
  tested, developing appropriate asymptotic theory for this task. Finally we apply
  the model to assess the purchasing power parity relationship.
Keywords: Cointegration; Equilibrium correction model; GARCH; Hidden Markov model; Likelihood; 
 Regime switching; STAR model; Stochastic break; Stochastic unit root; Switching regression; 
 Real Exchange Rate; PPP; Unit root hypothesis.
Length:30 pages
Creation-Date: 2001-04-01
Revision-Date: 2002-02-01
Number:2002-W7
File-URL:http://www.nuff.ox.ac.uk/economics/papers/2002/w7/acr.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0207