A Nonlinear Approach to Tunisian Inflation Rate
In this study, we investigated the properties and the macroeconomic performance of the nonlinearity of the Inflation Rate Set in Tunisia. We developed an inference asymptotic theory for an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. We proposed two...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Editura ASE Bucuresti
2016-09-01
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| Series: | Romanian Economic Journal |
| Subjects: | |
| Online Access: | http://www.rejournal.eu/article/nonlinear-approach-tunisian-inflation-rate |
| _version_ | 1818162531653386240 |
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| author | Thouraya Boujelbène Dammak Kamel Helali |
| author_facet | Thouraya Boujelbène Dammak Kamel Helali |
| author_sort | Thouraya Boujelbène Dammak |
| collection | DOAJ |
| description | In this study, we investigated the properties and the macroeconomic performance of the nonlinearity of the Inflation Rate Set in Tunisia. We developed an inference asymptotic theory for an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. We proposed two types of tests namely asymptotic and bootstrap-based. These tests as well as the distribution theory allow a joint consideration of nonlinear thresholds and non-stationary unit roots.
Our empirical results reveal a strong evidence of a threshold effect. This makes clear the possibility of non stationary and nonlinear of the Monthly Inflation Rate in Tunisia for the 1994.01-2011.06 period. While the Perron test found a unit root, our TAR unit root tests are arguably significant. Then, the evidence is quite strong that the inflation rate is not a unit root process. |
| first_indexed | 2024-12-11T16:35:09Z |
| format | Article |
| id | doaj.art-8c7eb35d73374c6b941d12c1a6654501 |
| institution | Directory Open Access Journal |
| issn | 1454-4296 2286-2056 |
| language | English |
| last_indexed | 2024-12-11T16:35:09Z |
| publishDate | 2016-09-01 |
| publisher | Editura ASE Bucuresti |
| record_format | Article |
| series | Romanian Economic Journal |
| spelling | doaj.art-8c7eb35d73374c6b941d12c1a66545012022-12-22T00:58:28ZengEditura ASE BucurestiRomanian Economic Journal1454-42962286-20562016-09-01XIX61147164A Nonlinear Approach to Tunisian Inflation RateThouraya Boujelbène Dammak Kamel Helali In this study, we investigated the properties and the macroeconomic performance of the nonlinearity of the Inflation Rate Set in Tunisia. We developed an inference asymptotic theory for an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. We proposed two types of tests namely asymptotic and bootstrap-based. These tests as well as the distribution theory allow a joint consideration of nonlinear thresholds and non-stationary unit roots. Our empirical results reveal a strong evidence of a threshold effect. This makes clear the possibility of non stationary and nonlinear of the Monthly Inflation Rate in Tunisia for the 1994.01-2011.06 period. While the Perron test found a unit root, our TAR unit root tests are arguably significant. Then, the evidence is quite strong that the inflation rate is not a unit root process.http://www.rejournal.eu/article/nonlinear-approach-tunisian-inflation-rateTAR modelsThresholdsnonlinear time series; nonstationaryInflation Rate |
| spellingShingle | Thouraya Boujelbène Dammak Kamel Helali A Nonlinear Approach to Tunisian Inflation Rate Romanian Economic Journal TAR models Thresholds nonlinear time series; nonstationary Inflation Rate |
| title | A Nonlinear Approach to Tunisian Inflation Rate |
| title_full | A Nonlinear Approach to Tunisian Inflation Rate |
| title_fullStr | A Nonlinear Approach to Tunisian Inflation Rate |
| title_full_unstemmed | A Nonlinear Approach to Tunisian Inflation Rate |
| title_short | A Nonlinear Approach to Tunisian Inflation Rate |
| title_sort | nonlinear approach to tunisian inflation rate |
| topic | TAR models Thresholds nonlinear time series; nonstationary Inflation Rate |
| url | http://www.rejournal.eu/article/nonlinear-approach-tunisian-inflation-rate |
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